We examine the extent to which uncertainty delays investment, and the effect of competition on this relationship, using … idiosyncratic and systematic risk lead developers to delay new real estate investments. Empirically, a one-standard deviation … increase in the return volatility reduces the probability of investment by 13 percent, equivalent to a 9 percent decline in …

We examine the extent to which uncertainty delays investment and the effect of competition on this relationship using a … idiosyncratic and systematic risk lead developers to delay new real estate investments. Empirically, a one-standard deviation … increase in the return volatility reduces the probability of investment by 13 percent, equivalent to a 9 percent decline in …

are (1) the model can generate a high and volatile equity premium while a low and smooth risk-free rate, (2) agents … volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk … premium once time variation in investment opportunities is accounted for; in most cases, Bayesian learning lowers the …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …