volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time … horizons, finding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is … particularly important for long-run uncertainty, while currency volatility and CEO turnover appear to equally impact short- and …

This study uncovers a statistically significant negative correlation between volatility and private investment over the … number of different measures, volatility reduces private investment in developing countries. We then show that the … volatility measures related to domestic policies or to external factors. As the various volatility measures tend to be positively …

values and optimal investment decisions. The method is quite general, and is illustrated both analytically and numerically …, on mine values and investment decisions. Although the tax policies are found to have the expected effects on asset values …, the effects on investment decisions are sometimes perverse. An increase in the income tax rate may encourage investment …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … hedge against two types of deterioration in investment opportunities: declining expected stock returns, and increasing … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer … active investors adjust their portfolio each period to respond to changes in the investment opportunity set. We find that … these intermittent re-balancers more than double the effect of aggregate shocks on the time variation in risk premia by …

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish … short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the … propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from …

future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …Despite widespread application of real options theory in the literature, the extent to which firms actually delay …, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a …

find that policy uncertainty raises stock price volatility and reduces investment and employment in policy … foreshadow declines in investment, output, and employment in the United States and, in a panel VAR setting, for 12 major …