-quality systematic risk factors from these data. This paper firstdocuments that appropriately screened data from Thomson Reuters … correspondingmomentum risk factor (as existing work has suggested), but also the widely-used U.S. size and value riskfactors. We then build … novel pan-European and country-specific momentum, size, and value risk factors.By comparing our pan-European market returns …

jointly signicant predictors of bond returns, where the global factor isclosely linked to US bond risk premia and … which movements in risk premia are driven by one local andone global factor. Yield loadings for the two factors are … estimated to be close tozero while shocks to risk premia account for a small fraction of yield variance.This suggests that the …

We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return … variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic … systematic(idiosyncratic) variance, even though both variances comove countercyclically. Commonidiosyncratic variance risk is an …

fixed debt plan;•A yield spread on debt which is fair compensation for default risk;•The part of the yield spread which is …

theirinstantaneous market prices of risk gives valuation bounds having very good dynamic properties as processes over time. We also show …

equity return comovements. We test the multifactor beta pricing theory against the Capital Asset Pricing model using a …

theinterest rate variables. The credit risk premium represents between 20 and30% of the total equity premium in each country and … jointly positively and significantly priced in theUS and Swiss equity risk premia. …