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 …

February 1998 to September 2014, we estimate an average total return spillover risk of 28.0%. In an extended Fama-French's five …, bond market, as a net "receiver" of market risks, increased its risk premiums in response to high spillover risks from …

-French risk premiums. Investors should thus not neglect spillover risks when constructing their asset allocation strategies …