Subjective Risk Premia in Band and FX Markets
Start date 28 Sep, 2022 | 12:45 hours
End date 28 Sep, 2022 | 14:30 hours
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