Group for Research in Economics and Finance

Subjective Risk Premia in Band and FX Markets

Paul Whelan |

Start date 28 Sep, 2022 | 12:45 hours
End date 28 Sep, 2022 | 14:30 hours
Paul Whelan

Subjective consensus expectations elicited from surveys do not display strong evidence of behavioral biases, at least when considering beliefs about future interest rates and exchange rates for advanced economies. Survey implied subjective risk premia are cyclical, positively correlated with quantities of risk, and predict future realized returns. These findings support asset pricing models that generate return predictability through rational channels.


Start date 28 Sep, 2022 | 12:45 hours
End date 28 Sep, 2022 | 14:30 hours
Authors
Paul Whelan
Paul Whelan

Assistant Professor of Finance at Copenhagen Business School