We study a long-run risk model with a stochastic consumption growth rate, a stochastic volatility, a stochastic jump … uncertainty has far-reaching economic consequences: the equity risk premium is increasing not only with short-run but also with …-varying uncertainty, time-variation in the jump intensity is much more important than time-variation in diffusive volatility risk. Third …

Most macroeconomic models fail to replicate the level, volatility, and countercyclicality of risk premia which has been …-varying risk of economic disaster. Both asset prices and macroeconomic aggregates respond to this time-varying risk. The model is … prices. An increase in the risk of disaster leads to a collapse of investment and a recession, with no current or future …

nests the standard long-run risk model which assumes constant market prices of risk. We find that the long-run consumption … risk dominates the short-run and volatility risks and drives most of the movements of bond risk premiums. The risk premium … volatility risk in consumption growth. In contrast to the standard long-run risk model, however, we find strong evidence that the …

the long run risk model of Bansal and Yaron (2004) has an analytic solution. The long run risk model is dependent on the … the stationary mean of the long run risk variable. The radius of convergence for this power series is determined to be at … least seven standard deviations of the long run risk variable. Consequently, the lifetime utility can be quickly and …

that the precautionary savings motive in response to estimation uncertainty can dominate the risk aversion effect … holding horizons, however, estimation uncertainty does induce higher risk premiums on equity over risk-free coupon bonds of …

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns … follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors … are concerned with sufficiently large downside losses, i.e. have a sufficiently low risk tolerance, then in the …

, whilst removing credit risk transmission, systematically increase default risk …

's financial opacity and its stock crash risk. I find that overvalued firms tend to use more earnings management (higher financial … addition, I show that overvalued firms have higher crash risk than otherwise identical but non-overvalued firms. At last, I …

important information about aggregate wealth. Consistent with this, bond risk is priced in the cross section of stocks. Bond … risk partially explains momentum profit ts and the flat cross-sectional relation between stock index beta and returns. The … results suggest that stock indices are an insufficient proxy for aggregate wealth and that bond risk is an important component …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … these intermittent re-balancers amplify the effect of aggregate shocks on the time variation in risk premia by a factor of …