Risk premium plays an important role in stock investing. Experiments have shown that value stocks typically have a … stocks have a higher average return than growth stocks due to the higher overall risk. Furthermore, this study combined the … Support Vector Regression (SVR) algorithm with the risk premium theoretical framework for the forecasting model; consequently …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …