significantly positively associated with future realized stock returns and also significantly correlates with commonly used risk …

equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility … model completed by liquidly traded options. Empirical market price of orthogonal risk and risk aversion surfaces as well as … their time series are obtained from traded option prices. It is found that implied risk aversion exhibits a smiling pattern …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic … also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel puzzle …

volatility model completed by liquidly traded put options. We demonstrate with these equilibrium relations that the risk neutral … between the market pricing kernel, the market prices of risks and the market risk aversion under a continuous time stochastic …). We also show that in this completed market stochastic volatility cannot explain the documented empirical pricing kernel …

greater risk-free rate volatility. But raising the prior uncertainty on dividend growth rates has ambiguous effects on the … a parsimonious set of prior parameters, the model generates a sizeable equity premium and a low risk-free rate even with … a power utility function, low risk aversion, and absence of persistence in growth rates. Raising the prior uncertainty …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The … serial correlation of consumption and dividend growth and the equilibrium conditions for market return and risk-free rate, as … well as the model-implied predictability of the risk-free rate. We match analytical moments when possible and simulated …

of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the … term structure of risk premia if the pricing of volatility risk is downward sloping (in absolute value) in the data and if … downward-sloping term structures of returns on a given market are driven solely by exposures to volatility risk. We test these …