A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

We examine subjective risk premia implied by return expectations of individual investors and professionals for … excess returns suggest that objective risk premia vary countercyclically with business cycle variables and aggregate asset … valuation measures, subjective risk premia extracted from survey data do not comove much with these variables. This lack of …

strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is …-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While … required before attempting to estimate risk. Finally, using a recently developed procedure we provide rolling estimates of …

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors … the stochastic discount factor (mt) used to price securities within inter-temporal asset pricing models. We show that risk … errors in the statistical factor model with mt: Secondly we compare estimates of factor risk premia using portfolios with the …

functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating …

abatement. However, their effect on the carbon beta and risk premium of abatement can be decreasing (when innovation spillovers … the costs and benefits of abatement. Investors price uncertain assets according to their expected return and risk (carbon … beta). We study carbon pricing and financial incentives in a consumption-based asset pricing model distorted by technology …

This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …

This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market … risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … weekly). The empirical findings in most cases imply that the market risk premium is a highly persistent variable which can be …