pricing model with a green-minus-brown (GMB) factor as a proxy. I estimate the relationship between risk factors and excess …-of-fit when flexibly estimating the relationship between risk factors and excess returns. I confirm previous studies finding that …

and book to market asset classes over troughs. The US small cap premium is related to default risk, although recessions … per se do not on average impact on this premium. Default risk and the inflation risk differential between Canada and the …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit … risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the … real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted …

find that risk-shifting interacts with regulatory arbitrage motives to explain how banks adjust their portfolios after … yielding but zero risk-weight sovereign bonds. The increase in banking system risk might therefore be even larger than the … decline in risk-weighted solvency ratios suggests. Distress in the banking system also feeds back onto bond prices. Bonds …