This paper provides novel insights into the dynamic properties of variance and semivariance premia. Considering nine international stock market indices, we find consistent evidence of significantly negative total and downside (semi)variance premia of around -15 bps per month. These premia almost...

Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term...

This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our study also allows us to evaluate how the different...

This paper provides new evidence on the dynamics of equity risk premia in euro area stock markets across country and industry portfolios. We develop and estimate a conditional intertemporal CAPM where returns on aggregate euro area, country and industry portfolios depend on the market risk as...

We propose a multivariate test based on no-arbitrage conditions under the stochastic discount factor approach, which compares cross-sectional variation in equity returns to the cross-sectional variation in their conditional covariance with the discount factors. Using the multivariate generalized...

This paper investigates the price formation of credit risk premia across European sovereign countries. A metric of such premia is retrieved under the statistical measure using bootstrap techniques on hedging portfolios. This latter is retrieved in the cash-synthetic market by means of comparison...

What are the macroeconomic forces behind the cross-sectional and time-series variation in expected excess equity returns? To answer this question, my paper integrates models of empirical asset pricing with structural vector autoregressions (VAR). I construct two orthogonalised shocks in a VAR...

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable selection approach which advocates finding an...

The conditional capital asset pricing model is applied to foreign currency futures prices, covariance risk being measured relative to excess returns from a broadly diversified portfolio of equities. Positive time-varing risk premia are found in all five currencies tested when the difference...

The study provides a comprehensive review on the equity premium puzzle for Finnish stock market. The analysis indicates large risk aversion values for Finnish representative agent to justify the observed equity premium. The negative consumption growth implies a premium for lending in the...