We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty …") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices, and risk … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …

effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived …We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the … for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are …

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn … relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps …

managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment … decisions from the perspective of well-diversified shareholders. We empirically document that when idiosyncratic risk rises …High-powered incentives may induce higher managerial effort, but they also expose managers to idiosyncratic risk. If …