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 …

This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 … conditional volatility and return to determine the risk-return relationship. We find that the risk-return trade-off is generally … the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the …