endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …

addresses this challenge by examining whether currency portfolios display an intertemporal risk-return relationship. We consider … time-varying relations because investors' risk-aversion may change over time, based upon changing economic states. Moreover … identify that the relations between risk and return vary over time, and the risk-aversion parameters on momentum and value …

regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

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

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … the variance of idiosyncratic returns. The estimation is performed on a time series of returns and option prices from 2006 … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

This paper investigates how the downside tail risk of stock returns is differentiated cross-sectionally. Stock returns … follow heavy-tailed distributions with downside tail risk determined by the tail shape and scale. If safety-first investors … are concerned with sufficiently large downside losses, i.e. have a sufficiently low risk tolerance, then in the …