Itamar Drechsler is at Stern School of Business, New York University. I my grateful to my committee, Amir Yaron (Chair), Rob Stambaugh, and Stavros Panageas. I also thank Andy Abel, Ravi Bansal (discussant), Joao Gomes, Lars Hansen, Philipp Illeditsch, Jakub Jurek, Richard Kihlstrom, Feifei Li (discussant), Jun Liu, Nick Roussanov, Freda Song, Nick Souleles, Luke Taylor, Jessica Wachter, Paul Zurek, and seminar participants at Wharton, Chicago Booth School of Business, Columbia GSB, Princeton, NYU Stern, the University of Rochester, the 2009 Western Finance Association meeting (San Diego), the 2009 Stanford Institute for Theoretical Economics (SITE) workshop, and the 2010 American Finance Association meeting (Atlanta) for helpful comments. I thank Nim Drechsler and contacts at Citigroup and CSFB for options data. I am also indebted to the Editor, Cam Harvey, and to an anonymous referee for numerous comments that significantly improved the paper.
Uncertainty, Time-Varying Fear, and Asset Prices
Article first published online: 10 SEP 2013
© 2013 the American Finance Association
The Journal of Finance
Volume 68, Issue 5, pages 1843–1889, October 2013
How to Cite
DRECHSLER, I. (2013), Uncertainty, Time-Varying Fear, and Asset Prices. The Journal of Finance, 68: 1843–1889. doi: 10.1111/jofi.12068
- Issue published online: 10 SEP 2013
- Article first published online: 10 SEP 2013
- Accepted manuscript online: 20 MAY 2013 10:10AM EST
- Manuscript Accepted: 25 APR 2013
- Manuscript Received: 27 APR 2010
Disclaimer: Supplementary materials have been peer-reviewed but not copyedited.
|jofi12068-sup-0001-Appendix.pdf||335K||Appendix S1: Internet Appendix|
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