pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation … namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …

pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

matches played during stock market trading hours at the three editions of the FIFA World Cup between 2010 and 2018. Using …

risk premium. As for the US, only a few predictors play an important role. In the case of the UK, future stock returns are …

portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better …

increasing risk premia, and countercyclicality in response to rises in the risk-free rate. Using granular data on insurers …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

Risk parity portfolios. We propose a measure of Portfolio Instabil-ity, gauging the amount of optimal portfolio shifts … needed to respond to exogenous shocks to the expected risk and return of the risky portfolio assets. Portfolio Instability, i ….e. the selling pressure on riskier asset holdings, is found to be stronger the lower the risk-free interest rate. Heightened …