We propose an equilibrium model of asset pricesin which agents learn about the mean and volatility of the endowment anddiffer in their concerns about parameter uncertainty. We show that, inequilibrium, following unexpected bad and good news about economicoutcomes, (i)~uncertainty averse agents increase their risky assetholdings and (ii)~the market risk premium rises. These predictions areconsistent with observed portfolio flows and risk premia upon earnings andreturn surprises. Our model highlights that heterogeneity of preferencesand learning about economic uncertainty are key channels forunderstanding the equilibrium dynamics of portfolio holdings and riskpremia following news about economic outcomes.  

The seminar will be held both in presence in room E4.23 and online @ this link