Equity Risk Premium Predictability from Cross-Sectoral Downturns


We use a time-varying endogenous sectoral disaster-risk consumption-based asset pricing model to explain a substantial portion of the equity-risk premium. This model illustrates the crucial role of left cross-sectoral... [ view full abstract ]


  1. Jose Faias (Catolica Lisbon SBE)
  2. Juan Zambrano (Maynooth University)

Topic Area

Trading Strategies


MO-P-SY » Bubbles and Macro Models (14:30 - Monday, 16th July, Synge)

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