I employ a parsimonious model with learning but without conditioning information to extract time-varying measures of … market-risk sensitivities, pricing errors and pricing uncertainty. Parameters estimated for U.S. equity portfolios show … significant fluctuations, along patterns that change across size and book-to-market categories of stocks. Time-varying betas …

the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time …

rates predictable? This paper proposes an answer to these questions based on a time-varying probability of a consumption … disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

The paper focuses on the impact of time horizon on risk and return, which usually is the object of discussions about … were more attractive than in bonds: the risk of shares fell to the risk of bonds, but at the same time, the return of … “stock versus bond”. The aim of this paper is to investigate the transformation of risk and return when increasing the …