are more predictable coming out of a recession. Our measure performs as well in predicting stock returns as the implied …

power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …

We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional … of risk for the covariance with the market return that is driven by the time series variation in the conditional … covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables …

.S. economic recovery from the Great Recession by restraining overall credit growth through the bank lending channel …

risk premiums are not significantly different, nor is the cross-sectional relationship between average returns and the …

classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …