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Cited by 381

The DOI matches its Crossref record; 46 of the 46 references it cites were found in a registry or an index.

Risk, uncertainty, and asset prices

Bekaert, Geert, Engstrom, Eric, Xing, Yuhang·2009·Journal of Financial Economics
DOI 10.1016/j.jfineco.2008.01.005
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Abstract

We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model. The model matches the dynamics of dividend and consumption growth, including their volatility dynamics and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns.

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Metadata

Authors
Bekaert, G., Engstrom, E., & Xing, Y.
Venue
Journal of Financial Economics
Publisher
Elsevier BV
Published
2009-01
Volume
91
Issue
1
Pages
59-82
ISSN
0304-405X (ISSN-L)
DOI
10.1016/j.jfineco.2008.01.005
OpenAlex
W2083476133
Cited by
381
References
46
FWCI
33.24
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Risk, uncertainty, and asset prices. https://app.cochat.ai/papers/10.1016/j.jfineco.2008.01.005
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Bekaert, G., Engstrom, E., & Xing, Y. (2009). Risk, uncertainty, and asset prices. Journal of Financial Economics. https://doi.org/10.1016/j.jfineco.2008.01.005

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.