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The joint cross-sectional variation of equity returns and volatilities
(Elsevier, 2017)
info:eu-repo/semantics/article,
This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the ...
Estimating the elasticity of intertemporal substitution with leverage
(Elsevier, 2017)
info:eu-repo/semantics/article,
Following the recent literature on intermediary asset pricing models, this paper argues that the marginal utility of wealth of financial intermediaries can be used to generate enough volatility and counter-cyclicality on ...