Using textual analysis and comparing cybersecurity-risk disclosures of firms that were hacked to others that were not …, we propose a novel firm-level measure of cybersecurity risk for all US-listed firms. We then examine whether … cybersecurity risk is priced in the cross-section of stock returns. Portfolios of firms with high exposure to cybersecurity risk …

uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model … uncertainty our framework encompasses includes: simple i.i.d. model deviations; serially correlated model deviations; estimable … regime-switching models; more complex structural uncertainty about very different models, for instance, backward- and forward …

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and … financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is …

mortality if and only if mortality risk is convex in forecast errors. We test for such convexity using data on the universe of …

the dispersion of individual forecasts around these averages are interpreted as indicating "uncertainty." However …, while uncertainty is properly understood as referring to the diffuseness of the distributions of probabilities that … distributions for the same targets. Thus the former tend to understate uncertainty as measured by the latter. This is so …

I extend the classical general equilibrium treatment of uncertainty about exogenous states of nature to uncertainty … trade price-contingent securities (derivatives) to insure against the risks arising from this uncertainty. I establish four …

This paper studies asset pricing and labor market dynamics in a setting in which idiosyncratic risk in human capital is … tail risk in labor earnings arises as a part of an optimal risk-sharing scheme. In equilibrium, exposure to the tail risk … generates higher aggregate risk premia and higher return volatility. Consistent with data, firm-level labor share predicts both …