expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

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. …

addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider … time-varying relations because investors' risk-aversion may change over time, based upon changing economic states. Moreover … identify that the relations between risk and return vary over time, and the risk-aversion parameters on momentum and value …

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

-run decline since the 1870s, and that its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk … premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings … suggest that time varying risk appetite is a key driver of expected risky and safe returns – not only in the short, but also …

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …