Financial Market Risk Perceptions and the Macroeconomy*
提出用低波动股票与高波动股票的账面市值比之差（PVSt）衡量风险感知，发现风险感知高时无风险利率低、风险企业资本成本高，且预示未来产出和投资下降，风险感知波动不完全理性。
Abstract We provide evidence that financial market risk perceptions are important drivers of economic fluctuations. We introduce a novel measure of risk perceptions: the price of volatile stocks (PVSt), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk directly measured from surveys and option prices is low. Using our measure, we show that high perceived risk is associated with low risk-free interest rates, a high cost of capital for risky firms, and future declines in output and real investment. Perceived risk as measured by PVSt falls after positive macroeconomic news. These declines are predictably followed by upward revisions in perceived risk, indicating that fluctuations in investor risk perceptions are not fully rational.