Showing 1 - 10 of 43
Persistent link: https://www.econbiz.de/10001721369
Persistent link: https://www.econbiz.de/10002612968
Persistent link: https://www.econbiz.de/10003726352
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic...
Persistent link: https://www.econbiz.de/10012762886
We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are persistent and are strongly correlated with discount-rate news....
Persistent link: https://www.econbiz.de/10013106078
Persistent link: https://www.econbiz.de/10003971758
Persistent link: https://www.econbiz.de/10008747993
Persistent link: https://www.econbiz.de/10009553032
Persistent link: https://www.econbiz.de/10010498716
Persistent link: https://www.econbiz.de/10011847410