The DOI matches its Crossref record; 63 of the 63 references it cites were found in a registry or an index.
The Time Variation in Risk Appetite and Uncertainty
Abstract
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-Gaussianity. The model delivers measures of risk aversion and uncertainty at the daily frequency. We verify that equity variance risk premiums are very informative about risk aversion, whereas credit spreads and corporate bond volatility are highly correlated with economic uncertainty. Our model-implied risk premiums outperform standard instruments for predicting asset excess returns. Risk aversion is substantially correlated with consumer confidence measures and in early 2020 reacted more strongly to new COVID cases than did an uncertainty proxy. This paper was accepted by Haoxiang Zhu, finance.
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Cites
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On a measure of lack of fit in time series models
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The Impact of Uncertainty Shocks
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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A comprehensive look at the empirical performance of equity premium prediction
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Modeling and Forecasting Realized Volatility
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Cited by
Monetary policy shocks and Bitcoin prices
Ma, C., Tian, Y., Hsiao, S., & Deng, L. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101711 · Cited by 34
Metadata
- Authors
- Bekaert, G., Engstrom, E. C., & Xu, N. R.
- Venue
- Management Science
- Published
- 2022-06
- Volume
- 68
- Issue
- 6
- Pages
- 3975-4004
- ISSN
- 0025-1909 (ISSN-L)
- 1526-5501
- OpenAlex
- W3204544948
- Cited by
- 441
- References
- 63
- FWCI
- 47.29
- Type
- journal article
- Language
- en
- Open access
- closed
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