underlying stock (asset) is subject to discontinuous market regime type of shifts in its mean or volatility whose risk can be … risk are priced in option markets. The results of the paper clearly indicate that stock market regime shifts constitute … significant sources of risk which are priced in option markets. Ignoring these sources of risks will lead to significant option …

, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty … may be subsumed by credit or default risk. We provide empirical evidence consistent with Merton's (1974) default risk …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and … is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock … exchange. Hence, investor should compensate for holding such risk factors in the portfolio. …

many models fails to have full column rank, suggesting that risk premiums in these models are under-identified …

-section of expected returns. In addition, the estimated risk premia are economically small, have wrong signs and the low …-frequency risk exposures fail to match known patters in average returns. Overall, my work highlights the need for risk preferences … that allow investors to be more risk averse to business-cycle frequencies …

premium in general equilibrium, while flexibility in utilization adjustments helps explain uncertainty risk exposures in the …