The Time Variation in Risk Appetite and Uncertainty
References
- (2000) Nonparametric risk management and implied risk aversion. J. Econometrics 94:9–51.Crossref, Google Scholar
- (1990) Asset prices under habit formation and catching up with the joneses. Amer. Econom. Rev. 80:38–42.Google Scholar
- (2009) Money, liquidity, and monetary policy. Amer. Econom. Rev. 99:600–605.Crossref, Google Scholar
- (2013) Procyclical leverage and value-at-risk. Rev. Financial Stud. 27:373–403.Crossref, Google Scholar
- (2016) Valuation risk and asset pricing. J. Finance 71:2861–2904.Crossref, Google Scholar
- (2003) Modeling and forecasting realized volatility. Econometrica 71:579–625.Crossref, Google Scholar
- (2020) Flights to safety. Rev. Financial Stud. 33:689–746.Crossref, Google Scholar
- (2015) Macroeconomic regimes. J. Monetary Econom. 70:51–71.Crossref, Google Scholar
- (2019) Cumulative prospect theory, option returns, and the variance premium. Rev. Financial Stud. 32:3667–3723.Crossref, Google Scholar
- (2006) Investor sentiment and the cross-section of stock returns. J. Finance 61:1645–1680.Crossref, Google Scholar
- (2016) Measuring economic policy uncertainty. Quart. J. Econom. 131:1593–1636.Crossref, Google Scholar
- (2006) A theory of volatility spreads. Management Sci. 52:1945–1956.Link, Google Scholar
- (2010) The behavior of risk and market prices of risk over the nasdaq bubble period. Management Sci. 56:2251–2264.Link, Google Scholar
- (2003) Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. 16:101–143.Crossref, Google Scholar
- (2004) Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59(4):1481–1509.Crossref, Google Scholar
- (2014) Volatility, the macroeconomy, and asset prices. J. Finance 69:2471–2511.Crossref, Google Scholar
- (2012) Information, animal spirits, and the meaning of innovations in consumer confidence. Amer. Econom. Rev. 102:1343–1377.Crossref, Google Scholar
- (2006) Maximum likelihood estimation of latent affine processes. Rev. Financial Stud. 19:909–965.Crossref, Google Scholar
- (2017) Asset return dynamics under habits and bad environment–good environment fundamentals. J. Political Econom. 125:713–760.Crossref, Google Scholar
- (2014) The vix, the variance premium and stock market volatility. J. Econometrics 183:181–192.Crossref, Google Scholar
- (2016) What do asset prices have to say about risk appetite and uncertainty? J. Banking Finance 67:103–118.Crossref, Google Scholar
- (2010) Stock and bond returns with moody investors. J. Empirical Finance 17:867–894.Crossref, Google Scholar
- (2013) Risk, uncertainty and monetary policy. J. Monetary Econom. 60:771–788.Crossref, Google Scholar
- (2004) Option-implied risk aversion estimates. J. Finance 59:407–446.Crossref, Google Scholar
- (2009) The impact of uncertainty shocks. Econometrica 77:623–685.Crossref, Google Scholar
- (2011) Tails, fears, and risk premia. J. Finance 66:2165–2211.Crossref, Google Scholar
- (2011) Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. J. Econometrics 160:235–245.Crossref, Google Scholar
- (2009) Expected stock returns and variance risk premia. Rev. Financial Stud. 22:4463–4492.Crossref, Google Scholar
- (2007) On the importance of measuring payout yield: Implications for empirical asset pricing. J. Finance 62:877–915.Crossref, Google Scholar
- (2003) Time-varying risk aversion and unexpected inflation. J. Monetary Econom. 50:1457–1498.Crossref, Google Scholar
- (2019) The real response to uncertainty shocks: The risk premium channel. Working paper, Georgia Institute of Technology, Atlanta.Google Scholar
- (2000) Option prices, implied price processes, and stochastic volatility. J. Finance 55:839–866.Crossref, Google Scholar
- (1999) By force of habit: A consumption-based explanation of aggregate stock market behavior. J. Political Econom. 107:205–251.Crossref, Google Scholar
- (2016) Analyzing volatility risk and risk premium in option contracts: A new theory. J. Financial Econom. 120:1–20.Crossref, Google Scholar
- (2019) The vix premium. Rev. Financial Stud. 32:180–227.Crossref, Google Scholar
- (2015) Evidence for counter-cyclical risk aversion: An experiment with financial professionals. Amer. Econom. Rev. 105:860–885.Crossref, Google Scholar
- (2008) Does risk aversion drive financial crises? testing the predictive power of empirical indicators. J. Empirical Finance 15:167–184.Crossref, Google Scholar
- (2021) Treasury yield implied volatility and real activity. J. Financial Econom. 140:412–435.Crossref, Google Scholar
- (2014) The sum of all FEARS investor sentiment and asset prices. Rev. Financial Stud. 28:1–32.Crossref, Google Scholar
- (2018) Unobservable systematic risk, economic activity and stock market. J. Bank. Finance 97:51–69.Crossref, Google Scholar
- (2011) What’s vol got to do with it. Rev. Financial Stud. 24:1–45.Crossref, Google Scholar
- (2019) A new predictor of us real economic activity: The S&P 500 option implied risk aversion. Management Sci. 65:4927–4949.Link, Google Scholar
- (1987) Expected stock returns and volatility. J. Financial Econom. 19:3–29.Crossref, Google Scholar
- (2006) Measuring investors’ risk appetite. Internat. J. Central Banking 2:167–188.Google Scholar
- (2012) Credit spreads and business cycle fluctuations. Amer. Econom. Rev. 102:1692–1720.Crossref, Google Scholar
- (1988) The real term structure and consumption growth. J. Financial Econom. 22:305–333.Crossref, Google Scholar
- (2013) Intermediary asset pricing. Amer. Econom. Rev. 103:732–770.Crossref, Google Scholar
- (1992) Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Rev. Financial Stud. 5:357–386.Crossref, Google Scholar
- (2000) Recovering risk aversion from option prices and realized returns. Rev. Financial Stud. 13:433–451.Crossref, Google Scholar
- (2013) Why Gaussian macro-finance term structure models are (nearly) unconstrained factor-VARs. J. Financial Econom. 109:604–622.Crossref, Google Scholar
- (2015) Measuring uncertainty. Amer. Econom. Rev. 105:1177–1216.Crossref, Google Scholar
- (2003) Winter blues: A SAD stock market cycle. Amer. Econom. Rev. 93:324–343.Crossref, Google Scholar
- (2011) Predictability of returns and cash flows. Annu. Rev. Financial Econom. 3:467–491.Crossref, Google Scholar
- (2015) Robust econometric inference for stock return predictability. Rev. Financial Stud. 28:1506–1553.Crossref, Google Scholar
- (2005) The neural basis of financial risk taking. Neuron 47:763–770.Crossref, Google Scholar
- (2006) Consumer confidence and asset prices: Some empirical evidence. Rev. Financial Stud. 19:1499–1529.Crossref, Google Scholar
- (2004) An equilibrium model of rare-event premia and its implication for option smirks. Rev. Financial Stud. 18:131–164.Crossref, Google Scholar
- (1978) On a measure of lack of fit in time series models. Biometrika 65:297–303.Crossref, Google Scholar
- (2021) Volatility expectations and returns. J. Finance. Forthcoming.Google Scholar
- (2004) Corporate earnings and the equity premium. J. Financial Econom. 74:401–421.Crossref, Google Scholar
- (2017) What is the expected return on the market? Quart. J. Econom. 132:367–433.Crossref, Google Scholar
- (2004) Understanding predictability. J. Political Econom. 112:1–47.Crossref, Google Scholar
- (2020) Us monetary policy and the global financial cycle. Rev. Econom. Stud. 87:2754–2776.Crossref, Google Scholar
- (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55(3):703–708.Google Scholar
- (2013) Political uncertainty and risk premia. J. Financial Econom. 110:520–545.Crossref, Google Scholar
- (2020) Financial market risk perceptions and the macroeconomy. Quart. J. Econom. 135:1443–1491.Crossref, Google Scholar
- (1995) Bias-corrected nonparametric spectral estimation. J. Time Series Anal. 16:67–103.Crossref, Google Scholar
- (2004) Automatic block-length selection for the dependent bootstrap. Econometric Rev. 23:53–70.Crossref, Google Scholar
- (2004) Investor Sentiment Measures (National Bureau of Economic Research, Cambridge, MA).Crossref, Google Scholar
- (2006) Has finance made the world riskier? Eur. Financial Management 12:499–533.Crossref, Google Scholar
- (2015) Dilemma not trilemma: the global financial cycle and monetary policy independence. Working paper, London Business School, UK.Google Scholar
- (2002) Empirical pricing kernels. J. Financial Econom. 64:341–372.Crossref, Google Scholar
- (2015) The recovery theorem. J. Finance 70:615–648.Crossref, Google Scholar
- (2010) Crashes, volatility, and the equity premium: Lessons from S&P 500 options. Rev. Econom. Statist. 92:435–451.Crossref, Google Scholar
- (2015) Good and bad uncertainty: Macroeconomic and financial market implications. J. Financial Econom. 117:369–397.Crossref, Google Scholar
- (2020) Measuring news sentiment. https://www.sciencedirect.com/science/article/abs/pii/S03044 07620303535.Google Scholar
- (2006) A consumption-based model of the term structure of interest rates. J. Financial Econom. 79:365–399.Crossref, Google Scholar
- (2008) A comprehensive look at the empirical performance of equity premium prediction. Rev. Financial Stud. 21:1455–1508.Crossref, Google Scholar
- (2019) Global risk aversion and international return comovements. Working paper, Boston College, Boston. Google Scholar

