naturally explained in terms of state-dependent risk premia or a specific cognitive bias (representativeness). We show that the … facts about the predictability of excess returns, and their business-cycle dependence. We also test the risk … of excess returns than a risk-premium explanation …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

of variance risk premia. These risk premia predict the returns from selling volatility for different horizons, maturities …

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In … innovation is the use of a set of predictors that account for variation in risk prices across (segmented) markets. These … competing methods (including those that assume homogeneous risk prices) when applied to domestic and international data -- a …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

apply the model to forecast US bond risk premia, and find that the observed macroeconomic characteristics contain strong …