risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional … mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non …-negligible variance risk premium …

the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that … multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation …. 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 …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

extensive number of robustness checks. Overall, downside cash flow risk is priced most consistently across different samples … ability. The downside cash flow risk premium is mainly attributable to small stocks. The risk premium for large stocks appears … much more driven by a compensation for symmetric, cash flow related risk. Finally, we multiply our premia estimates by …

Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading …

VIX slope risk is approximately 2.5% annually, statistically significant and cannot be explained by other common factors …, such as the market excess return, size, book-to-market, momentum, liquidity, market volatility, and the variance risk …