We estimate time varying risk sensitivities on a wide range of stocks' portfolios of the US market. We empirically test, on a 1926-2004 Monthly CRSP database, a classic one factor model augmented with a time varying specification of betas. Using a Kalman filter based on a genetic algorithm, we...

In this paper we use an affine asset pricing model to jointly value stocks and bonds. This enables us to derive endogenous correlations and to explain how economic fundamentals influence the correlation between stock and bond returns. The presented model is implemented for G7 post- war economies...

Building on the seminal work of Veronesi (2000), we investigate the relationship between the quality of information on the state of the economy and equity risk premium. In this, we use a setup where investors have Epstein-Zin preferences and the economy switches between booms and recessions at...