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SUMMARY:Macro Strikes Back: Term Structure of Risk Premia and Market Segme
 ntation
DTSTART:20241108T114500
DTEND:20241108T130000
DTSTAMP:20260528T101647Z
UID:a98e6616349341165efca99f2cb65a9f3c0df72c4cc1f5b25bed7e52
CATEGORIES:Conferences - Seminars
DESCRIPTION:Christian Julliard - LSE\nWe develop a unified framework to st
 udy the term structure of risk premia of nontradable factors. Our method d
 elivers level and time variation of risk premia\, uncovers their propagati
 on mechanism\, is robust to misspecification and weak identification\, and
  allows for segmented markets. Most macroeconomic factors are weakly iden
 tified at quarterly frequency\, but have increasing (unconditional) term s
 tructures with large risk premia at business cycle horizons. Moreover\, t
 he macro risk premia are strongly time-varying and countercyclical. Most 
 macroeconomic and intermediary-based factors command similar risk premia i
 n equity and corporate bond markets\, while we find strong evidence of seg
 mentation for other factors.\n\nPaper
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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