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

This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We … model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive … calculated sentiment risk premium is significant as well but of a negative sign implying that an investment in EA-11 countries …

expected default probabilities and thereby spreads towards Germany, assumed to be free of default risk. The pricing factors are … through both heightened compensations for default risk and increases in risk premia. We also present perceived probabilities …

expected default probabilities and thereby spreads towards Germany, assumed to be free of default risk. The pricing factors are … through both heightened compensations for default risk and increases in risk premia. We also present perceived probabilities …

This paper estimates Inflation risk premia in the Euro area based on nominal swap yields, inflation swap rates, CPI and … surveys. To assess the uncertainty of the infaltion risk premia estimates we use a Markov Chain Monte Carlo method to estimate … our model. We find that including surveys help identifying risk premia, in fact a model that does not include surveys may …