The Time Variation in Risk Appetite and Uncertainty

The Time Variation in Risk Appetite and Uncertainty

We formulate a dynamic no-arbitrage asset pricing model for equities and corporate bonds, featuring time variation in both risk aversion and economic uncertainty. The joint dynamics among cash flows, macroeconomic fundamentals, and risk aversion accommodate both heteroskedasticity and non-Gaussianit...

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Bibliographic Details
Main Authors: Bekaert, G. (Author), Engstrom, E.C (Author), Xu, N.R (Author)
Format: Article
Language:English
Published: INFORMS Inst.for Operations Res.and the Management Sciences 2022
Subjects:
Asset pricing model
Costs
COVID crisis
dynamic asset pricing model
Dynamic asset pricing model
economic uncertainty
Economic uncertainty
Economics
Financial markets
Risk assessment
risk aversion
Risk aversion
sentiment
Sentiment
Time variations
Uncertainty
variance risk premium
Variance risk premiums
VIX
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