HIGHLIGHTS
- who: Cross-Sectoral, Downturns and Juan Arismendi, Zambrano from the University College have published the research work: Equity Risk Premium Predictability from Cross-Sectoral Downturns, in the Journal: (JOURNAL) of November/22,/2021
- what: The authors show that the level of the LTM is not only time varying but also quite adaptive, and it reacts quickly and strongly compared with other similar measures. To test the predictability of LTM under a controlled environment that considers business cycle shocks, the authors simulate three different models with procyclical shocks and the authors compare the predictability of tail . . .
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