I study the degree of market integration between U.S. corporate bonds and stocks of their issuers. I document that … suggest that stocks co-move more strongly with stock-like corporate bonds, especially those of small, growth firms, with lower … when the risk-bearing capacity of financial intermediaries is more impaired …

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock … returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning …-arbitrage assumption in large economies. The empirical illustration on returns for about ten thousands US stocks from July 1964 to December …

-varying structures. The empirical analysis runs on ten thousand US stocks from January 1968 to December 2011. For monthly returns, we …

finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross … models and contrast analysis based on individual stocks and standard sets of portfolios. We also discuss the impact on …

-data example on dynamics of trading volume of US stocks illustrates the empirical relevance of our method …

, LR models go naturally with the long-term risk factorization due to Alvarez and Jermann (2005), Hansen and Scheinkman …