Have risk premia vanished?

• 成果类型: Article
• 署名作者: Smith, Simon C.; Timmermann, Allan
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.08.019
• 发表日期: 2022
• 页码: 553-576
• 关键词: Cross-sectional variation in risk premia; Instability risk factor; Industry and style portfolios; Bayesian analysis

摘要

We apply a new methodology for identifying pervasive and discrete changes (breaks) in cross-sectional risk premia. Size, value, and investment risk premia have fallen offto the point where they are insignificantly different from zero at the end of the sample period. The market risk premium has also declined systematically over time but remains significant and positive as do the momentum and profitability risk premium. We construct a new instability risk factor from cross-sectional differences in individual stocks' exposure to time-varying risk premia and show that this factor earns a premium comparable to that of commonly used risk factors. (C) 2021 Elsevier B.V. All rights reserved.