increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … 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 …

against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual's effective risk aversion …

-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, additional liquidity-related and return forecasting factors. Liquidity factors are obtained from a decomposition of the TED … spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …

This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial …