Add to ORKGThis article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model. Second, we study the structural breaks in the risk premium we obtain. Finally, we relate our results to important facts and economic events. Our findings show that the US risk premium increased significantly during periods of crisis and that the last 2007-2009 financial crisis has had the largest impact.US Risk Premium, CAPM, Multivariate GARCH, Structural Breaks
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M.Com. (Finance)Abstract: The value premium is an anomaly of financial markets insofar as it enables...
In this thesis, we aim to find the effect of economic crisis announcements arising from the US subpr...
The market risk premium is a central component of corporate financing activities in practice. Cost o...
We analyze the history of the equity risk premium from surveys of U.S.chief financial officers (CFOs...
As is well documented, subprime mortgage markets carried significant default risk. This paper invest...
International audiencePurpose: This paper aims to analyze the impact of the global financial crisis ...
Our results shed light on the contribution of local and regional factors to the risk premium on the ...
A survey of the risk management literature shows that few studies have attempted to take into accoun...
This study investigates the impact of liquidity crises on the relationship between stock (value and ...
We investigate the impact of financial crises on two fundamental features of stock returns, namely, ...
The Study focuses on how the equity risk premium of selected financial institutions behaved after th...
This study tests an international extension of the Capital Asset Pricing Model (CAPM),integrating tw...
This paper evaluates the data from the recent financial crisis to examine the risk spillover effects...
We propose a methodology based on multivariate extreme value theory, to analyze the dependence betwe...
This article investigates the determinants of US interest rate swap spreads in the period including ...
M.Com. (Finance)Abstract: The value premium is an anomaly of financial markets insofar as it enables...
In this thesis, we aim to find the effect of economic crisis announcements arising from the US subpr...
The market risk premium is a central component of corporate financing activities in practice. Cost o...