finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …

The predictability of the equity risk premium is a central and controversial issue in finance. The Risk Premium Factor … model is a recent and novel approach to forecasting the equity risk premium and the equity market's level and P/E. This … article aims to overcome the main limitation of, and therefore improve upon, this novel approach. The Enhanced Risk Premium …

these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the …