Countercyclical risk aversion can explain major puzzles such as the high volatility of asset
prices. Evidence for its existence is, however, scarce because of the host of factors that …

How does climate-change mitigation affect the aggregate consumption risk borne by future
generations? In other words, what is the 'climate beta'? In this paper we argue using a …

This paper studies how information disclosure affects investment efficiency and investor
welfare in a dynamic setting in which a firm makes sequential investments to adjust its …

We propose an experiment to analyze the relationship between volatility regimes and
investors' behavior and explore the mechanism by which aggregated risk aversion is …

The risk premium puzzle is worse than you think. Using a new database for the US and 15
other advanced economies from 1870 to the present that includes housing as well as equity …

We surveyed economists' attitudes toward adjusting discount rates to the risk profile of public
programs. Three-quarters of respondents recommend to use project-specific discount rates …

We propose the conditional volatility of GDP spanned by financial factors as a “Volatility
Financial Conditions Index”(VFCI) and show it is closely tied to the market price of risk. The …

This paper derives a generalized multiple-factor asset pricing model using only the
assumptions of the existence of an equivalent martingale measure, frictionless, and …

The politico-economic sustainability of pay-as-you-go social security has been studied with
the help of two-period overlapping generation models under Markovian equilibrium …

This study investigates the market impact of the “Cashbox” policy introduced in the UK
during the COVID-19 pandemic, which eased shareholder approval norms for equity …