This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …

area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …

characteristics. We use a daily panel of French stocks from 2012 to 2022. Results show that varying systematic risk varies in time and … (CAPM) framework. The dynamic of systematic risk across time and frequency is analyzed to investigate stock risk … lesser robustness of risk profiles. Significant differences exist in short-run and long-run risk profiles, implying a …

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 …