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 …

The equity premium puzzle holds that the coefficient of relative risk aversion estimated from the consumption based … CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We … gauge the uncertainty pertaining to the country risk aversion estimates by means of jackknife resampling and pooling. The …

information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for … rational inattention that demand for information depends on its expected benefit. Moreover, the fact that perceived risk …

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 …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

the countries' authorities, openness, and transparency, consistently with the theory. …