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- W2136452216 abstract "I analyze the behavior of risk premia in financial crises, wars, and recessions in an international panel spanning over 140 years and over 14 countries. I document that expected returns, or risk premia, increase substantially in financial crises, but not in the other episodes. Asset prices decline in all episodes, but the decline in financial crises is substantially larger than the decline in fundamentals so that risk premiums going forward are large. However, drops in consumption and consumption volatility are fairly similar across financial crises and recessions and are largest during wars, so asset pricing models which depend on aggregate consumption have trouble matching these facts. Comparing crises to deep recessions strengthens these findings further. By disentangling financial crises from these other bad macroeconomic times, the results suggest that financial crises are particularly important to understanding why risk premia vary. I discuss implications for theory more broadly and discuss both rational and behavioral models that are consistent with the facts." @default.
- W2136452216 created "2016-06-24" @default.
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- W2136452216 date "2014-01-01" @default.
- W2136452216 modified "2023-09-25" @default.
- W2136452216 title "Financial Crises and Risk Premia" @default.
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- W2136452216 doi "https://doi.org/10.2139/ssrn.2379608" @default.
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