multiple observable-factor and market prices of risk specifications, and considers alternative samples for parameter estimation … the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that …. However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond …

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. …

This paper studies whether sentiment is rewarded with a significant risk premium on the European stock markets. We … model in order to track the variation of the sentiment risk premium over time. The results demonstrate a positive … calculated sentiment risk premium is significant as well but of a negative sign implying that an investment in EA-11 countries …

systematically priced in the cross-section of stock returns in China. We find that return dispersion carries a positive price of risk … effect is robust to alternative portfolio sorts based on the well-established risk factors as well as industry portfolios. We … that end, return dispersion serves as a more meaningful proxy for risk in this emerging market that has experienced a …

evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative … idiosyncratic risk factors explains the negative premium. Furthermore, our results are not fully explained by the exposure to the … market timing and economic state. Overall, both the extreme return and idiosyncratic risk effects appear to coexist in the …

The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So … idiosyncratic risk and stock returns in the Indian stock market employing quantile regressions. Using quantile regressions, this … idiosyncratic volatility and stock returns is parabolic. The high idiosyncratic risk is associated with high (low) excess returns at …

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance … swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model … are negatively correlated with the risk appetite of hedge funds, broker-dealers, and mutual funds. Our results support the …