EconPapers    
Economics at your fingertips  
 

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

Mohamed Arouri () and Fredj Jawadi ()

Economics Bulletin, 2010, vol. 30, issue 2, 1032-1043

Abstract: 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.

Keywords: US Risk Premium; CAPM; Multivariate GARCH; Structural Breaks (search for similar items in EconPapers)
JEL-codes: G1 F3 (search for similar items in EconPapers)
Date: 2010-04-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2010/Volume30/EB-10-V30-I2-P97.pdf (application/pdf)

Related works:
Working Paper: On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00810

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

 
Page updated 2021-06-10
Handle: RePEc:ebl:ecbull:eb-09-00810