-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 …

This paper studies the long-run risk embedded in the news about future investment-specific technology (IST). The IST …-run consumption risk hypothesis, we find that the IST news shock carries a significantly positive risk premium in the cross section of …

, and time-varying likelihood of rare disasters. I embed this time-variation of risk in an endowment economy with a … high equity risk premium, excessive volatility of equity return, predictability of market returns through the price …-implied correlations between equity premium, variance risk premium, and the implied volatility of deep OTM put options are consistent with …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

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

function exhibits generalized relative risk aversions less than their benchmark values. Marginal changes in the endogenous risk … decrease the market price when all the coefficients of generalized relative risk aversion to the endogenous risk are less than … their orders. Marginal changes in the exogenous risk decrease the price of the risky asset when all the coefficients of …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that … approximates the data average with (1) low risk aversion, (2) non-persistent (i.i.d.) growth rates, (3) power utility, (4) diffuse …

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 … on consumption growth induces a "flight to safety" that results in lower risk-free rates, higher equity premium, and …

of variance risk while remaining consistent with consumption and asset pricing data. The variance premium is mainly … driven by the risk of a sudden increase in the overall level of uncertainty. Out-of-the-money equity index put options and …

, 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 …