In a consumption based asset pricing model one can calculate the volatility of (log-)consumption-growth from the … expected market return and from the risk-free rate. We propose to use the difference between these estimates to measure … ambiguity about consumption volatility. Using a long dataset we show that this measure explains up to 69% of post-war variation …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …

model is the significant wedge GDA drives between the physical and the risk-neutral measure. The model captures not only the … size of the variance risk premium (VRP), but also the hump-shaped predictability pattern and the prominent role of downside …

different from zero. Finally, the price of aggregate volatility risk has not been statistically different from zero. Analysis …This paper shows that the relationships between sensitivity to changes in aggregate volatility and expected return on … fifteen-year period. Aggregate volatility betas in the portfolio pre-formation month have not predicted post-formation returns …

variation can resolve several asset-pricing puzzles, including the large countercyclical variation of expected risk premia, the … volatility of the price--dividend ratio, the predictability of cash flows and returns, and the large predictability of returns in … explanatory power of long-run risk asset-pricing models …

Building on intuition from the dynamic asset pricing literature, we uncover unobserved risk aversion and fundamental … Germany and the US. We find that the variance premium contains a substantial amount of information about risk aversion whereas … the credit spread has a lot to say about uncertainty. We link our risk aversion and uncertainty estimates to practitioner …

, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk … VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of … an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are … studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between …