Time-varying state variable risk premia in the ICAPM

We find that the relation between state variables, such as the t-bill rate and term spread, and consumption growth is time-varying. In the cross-section of U.S. stocks, risk premia for exposure to state variables vary over time accordingly. When a state variable predicts consumption strongly relativ...

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Bibliographic Details
Main Author: Barroso, Pedro (author)
Other Authors: Boons, Martijn (author), Karehnke, Paul (author)
Format: article
Language:eng
Published: 2022
Subjects:
Conditional asset pricing models
Consumption predictability
Intertemporal CAPM
State variables
Time-varying equity risk premia
Accounting
Finance
Economics and Econometrics
Strategy and Management
Online Access:http://hdl.handle.net/10362/107559
Country:Portugal
Oai:oai:run.unl.pt:10362/107559

Internet

http://hdl.handle.net/10362/107559

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