uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …This paper presents predictability evidence of the implied-expected variance difference, or variance risk premium, for … financial market risk premia: (1) the variance difference measure predicts a positive risk premium across equity, bond, currency …

This paper reviews the predictability evidence of the variance risk premium: (1) it predicts significant positive risk … are discussed for generating these stylized facts about the variance risk premium, which has broad implications for …

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

We use learning in an equilibrium model to explain the puzzling predictive power of the volatility risk premium (VRP …

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 …

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty …. For reducing the discrepancy between the equilibrium outcomes and the data, variations in the prior estimation risk with … generates a sizable average annual equity premium, relatively low average risk-free rate and a high mean Sharpe ratio that …

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876 … of rare disasters models. Our macro risk estimates covary with asset prices and forecasts future stock returns, in line … with the prediction that macroeconomic tail risk drives the equity premium. A rare disaster model, calibrated from …

component analysis suggests an interpretation of this strategy as a risk-factor which drives the variability of portfolio … average returns. Asset pricing tests show that popular risk factors in the FX literature are not priced in the cross …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

-varying volatility for stock returns, even when volatility of economic fundamental is constant. As a source of risk, for investors with … investors' learning behavior into an equilibrium stochastic volatility model. In the model, we introduce noise signals as a … intuition, we show that information uncertainty as a systematic risk factor is able to explain variance premium term structure …