We provide a quarterly time series of the historical evolution of US external assets and
liabilities at market value on the 1952-2016 period. The center country of the International …

Throughout the financial literature, there is a great deal of debate about the nature of
investors' risk preferences. In an ever-changing world, the main schools of knowledge …

We study the implications of time-varying risk aversion for dynamic portfolio allocation under
the framework of regime-switching models. In our model, both asset returns and investor risk …

While cointegration models with constant parameters generate statistical arbitrage, the
cointegration feature may change and even disappear due to regime shifts. This paper …

We implement a state-space modeling to capture jointly the one-year and infinite horizons
equity risk premia (ERPs) over a secular period in France. Expected stock returns are …

We develop and estimate a consumption-based asset pricing model that uses historical US
financial data and assumes recursive utility, allowing for priced regime-switching risk and …

This paper extends the production-based equilibrium model studied by Zhang et al.(2012),
in which the stock return has constant volatility and the investor has a constant relative risk …

This paper presents an equilibrium bond-pricing model that jointly explains the upward-
sloping nominal and real yield curves and the violation of the expectations hypothesis …

Risk aversion, which refers to the reluctant attitude of an economic agent to accept uncertain
outcomes compared with a certain one even if the latter has a lower outcome in monetary …

Short performance windows shrink mutual fund managers' investment horizons well below
value investors' long-term investment mandates, and relative performance evaluations …