On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM

被引：0
|
作者：
El Hedi, Arouri Mohamed [1 ]
Fredj, Jawadi [2 ]
机构：
[1] EDHEC Business Sch, Lille, France
[2] LEO Univ Orleans, Amiens Sch Management, Orleans, France
来源：
ECONOMICS BULLETIN | 2010年 / 30卷 / 02期
关键词：
D O I：
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中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This 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.
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页码：1032 / 1043
页数：12
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