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 …

This article investigates the impacts of the domestic economic policy uncertainty (EPU) and
the World Uncertainty (WUI) on net foreign direct investment inflows (FDI) for 21 economies …

Does macroeconomic uncertainty increase or decrease aggregate growth and asset prices?
To address this question, we decompose aggregate uncertainty into 'good'and 'bad'volatility …

Using micro data from Duke University quarterly survey of Chief Financial Officers, we show
that corporate investment plans as well as actual investment are well explained by CFOs' …

I derive a lower bound on the equity premium in terms of a volatility index, SVIX, that can be
calculated from index option prices. The bound implies that the equity premium is extremely …

We investigate, in a theoretical framework, the joint role played by investors' attention to
news and learning uncertainty in determining asset prices. The model provides two main …

We apply the concept of carry, which has been studied almost exclusively in currency
markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante …

Abstract Kolari, Liu, and Huang (2021) recently proposed and empirically tested a new asset
pricing model dubbed that ZCAPM that consistently outperformed popular multifactor models …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term
equity investor who is content to hold the aggregate equity market instead of overweighting …