-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 …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

differentials between bonds issued by EU countries and Germany or the USA contain risk premia which increase with the debt, deficit … credit risk, measured as the yield spread between low grade US corporate bonds and government bonds, also affects bond yield …

and survey results related to general trust. We find evidence that these preference indicators have an influence on risk …

We investigate the political determinants of risk premiums which sub-national governments in Switzerland have to pay … contribute significantly to lower cantonal bond spreads. Second, we study the impact of a credible no-bailout regime on the risk … break lead to a reduction of cantonal risk premia by about 25 basis points. Moreover, it cut the link between cantonal risk …

by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively …

This paper is about market liquidity risk premia in Eurozone sovereign bond spreads between 2008 and 2015. By …