Macro determinants of U.S. stock market risk premia in bull and bear markets
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More about this item
Keywords
stock market; risk premia; factor analysis; market states;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EUR-2013-11-14 (Microeconomic European Issues)
- NEP-RMG-2013-11-14 (Risk Management)
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