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| HAL : hal-00507824, version 1 |
| Fiche détaillée |  Récupérer au format |
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| On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM |
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| Mohamed El Hedi Arouri 1, 2Fredj Jawadi 1, 2 |
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| (01/08/2010) |
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| 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 US risk premium. Finally, we relate the obtained 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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| 1 : | EconomiX |
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CNRS : UMR7166 – Université Paris X - Paris Ouest Nanterre La Défense |
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| 2 : | Laboratoire d'économie d'Orleans (LEO) |
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CNRS : UMR6221 – Université d'Orléans |
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| Domaine | : | Économie et finance quantitative/Econométrie de la finance |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00507824, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00507824 | |
| oai:hal.archives-ouvertes.fr:hal-00507824 | |
| Contributeur : Mohamed El Hedi Arouri | |
| Soumis le : Dimanche 1 Août 2010, 19:52:17 | |
| Dernière modification le : Lundi 2 Août 2010, 08:04:30 | |
