their fluctuations, called the loss and gain quadratic risk premium (QRP) respectively. The loss QRP interprets as the … premium paid for downside risk hedging, while the gain QRP reads as the premium received for upside risk compensation. Long …-short portfolio strategies based on the loss or gain QRP yield monthly risk-adjusted expected excess returns of up to 2.8%. This cross …

The equity risk premium is generally considered to be a reward that investors earn on top of the prevailing risk …-free return, implying that, all else equal, total expected stock returns should increase with the level of the risk-free return … hypothesis that a higher risk-free return implies higher total average stock returns. Instead, expected stock returns appear to …

historical periods in which uncertainty and risk premia were elevated because of news shocks. …

This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …

fairly priced stocks. Thus, our results support the mispricing and arbitrage risk hypotheses that the positive (negative …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

-based ex-post measures of macroeconomic risk. Inflation uncertainty is an important driver of bond premia, but the relation …