price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to … understand how risk-sharing mechanisms affect equity and variance risk premia, at an aggregate level and in the cross-section of …

on the state of the economy. I show that a conditional model with investors' beliefs and an uncertainty risk factor is …This paper investigates empirically the dynamics of investors' beliefs and Bayesian uncertainty about the state of the … economy as state variables that describe the time-variation in investment opportunities. Using measures of uncertainty …

The term "information risk" or "information uncertainty" is defined as the risk of a misleading signal. This risk is … likelihood function) can bring an increase in uncertainty, and hence an increase in the cost of capital. It can also occur that …

We show theoretically that when Bayesian investors face time-series uncertainty about assets' risk exposures …, differences in their priors affect the pricing of risk in the cross-section: different priors for the same asset can generate … differences in perceived risk exposures, and thereby differences in required returns. The main testable implication is that the …

risk-averse investor, the second-degree expectation dependence (SED) is required to account for the downside risk faced by … realistically match equity premia, risk-free rates, and variance risk premia. The consumption SED risk emerges as a fundamental … source of uncertainty driving asset prices …

risk-averse investors. This question has been shown to be complex when considered outside of the mean-variance framework … asset can be decomposed into an investment component based on the risk premium offered by the asset and a hedging component …

-varying and related to investor uncertainty about the state of the economy. The dynamics of betas will also vary across assets … uncertainty periods, value betas are higher while growth betas are lower. We estimate conditional betas empirically using proxies … for investor uncertainty and show support of the model's prediction about the dynamics of growth and value betas …

We study the problem of pricing contingent claims in the presence of uncertainty about the timing and the size of a …