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. …

Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price … phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering … and the risk premium is 16 percent of lifetime consumption. These values are about a third of the previously implied …

, narrower financial openness, higher political risk, lower income and faster real money growth. Our results suggest that shocks …

risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real … activity than our adjusted index, potentially rationalizing lower/zero risk compensation …

applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …