naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the … facts about the predictability of excess returns, and their business-cycle dependence. We also test the risk … of excess returns than a risk-premium explanation …

We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …

minor effects on the extracted factors and some measures of risk premia, such as the forward risk premium, they may have a … large impact on other measures of risk premia that is often ignored. In this paper, we analyze how apparently innocuous … overidentifying restrictions imposed on affine term structure models can lead to large differences in several measures of risk …

multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation … the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

This article develops an empirical methodology to determine which economic shocks span risk in asset returns and … identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in … multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the …

risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the … specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the … more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with …

risk. The second stylized fact is that long-term yields are dominated by a level factor, which requires persistence in the … specification for the price of risk leads to an analytically tractable almost affine term structure model that can explain the … more volatile than the returns themselves. It therefore takes a volatile risk premium that is negatively correlated with …