area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …

This article develops an empirical methodology to determine which economic shocks span risk in asset returns and … identifies economic shocks. The choice of identifying restrictions is based on the properties of the term structure of risk in … multiple sources of risk in the variance of consumption growth. Both types of news are almost equally important for the …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature …

We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model …

monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …