We study the effect of parameter uncertainty on the long-run risk of three alternative asset classes: equity, nominal bonds and short-term T-Bills. We estimate the long-run risk as the annualized predictive variance of returns at different horizons implied by a vector autoregression using...

We investigate financial experts' beliefs about climate risk pricing and analyze how those beliefs influence stock return expectations. In a comprehensive survey, we elicit experts' beliefs using both structured and open-ended questions. We establish that most experts share the view that climate...

The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada,...