This article reviews the predictability evidence on the variance risk premium:(a) It predicts
significant positive risk premia across equity, bond, currency, and credit markets;(b) the …

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock
market returns. We demonstrate that statistical finite sample biases cannot “explain” this …

We develop a dynamic model of belief dispersion with a continuum of investors differing in
beliefs. The model is tractable and qualitatively matches many of the empirical regularities in …

This paper shows that low‐risk anomalies in the capital asset pricing model and in
traditional factor models arise when investors require compensation for coskewness risk …

In this paper, we study asset prices in a dynamic, continuous-time, and general-equilibrium
endowment economy in which agents have “catching up with the Joneses” utility functions …

We provide novel evidence for an equilibrium link between investors' disagreement, the
market price of volatility and correlation, and the differential pricing of index and individual …

We document that short-horizon pricing discrepancies across firms' equity and credit
markets are common and that an economically significant proportion of these are …

We proxy uncertainty in the stock oil and gold markets with the variance risk premia,
extracted from futures and option contracts. We observe that an independent increase in the …

This paper studies the importance of heterogeneous beliefs for the dynamics of asset prices.
We focus on currency markets, where the absence of short-selling constraints allows us to …

The global financial crisis and the subsequent geopolitical turbulence in energy markets
have brought increased attention to the proper statistical modeling especially of the crude oil …