measure how the market price of uncertainty contributes to the short and long-run valuations of cash flows. I propose a state …-space with macroeconomic and aggregate financial variables that quantifies the (model) uncertainty premium in the term structure …

This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns … explain the value premium. Second, we investigate how uncertainty about investment affects expected stock returns. Based on … the closed-form solution in our framework, we suggest that less uncertainty about investment induces lower expected stock …

were found to be lower than the risk, making them not suitable for long-term investment, but suitable for traders and …

, a much stronger impact on stock market prices comes from the pre-IPO news tone. Interestingly, the more uncertainty …

with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …