The Term Structures of Value and Growth Risk Premia

50 Pages Posted: 2 Jun 2020 Last revised: 14 Jan 2021

See all articles by Michael Hasler

Michael Hasler

University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance

Mariana Khapko

University of Toronto - Finance Area; Swedish House of Finance

Roberto Marfè

University of Turin - Collegio Carlo Alberto

Date Written: June 1, 2020

Abstract

This paper studies the impact of information processing and learning about economic fundamentals on the level and timing of risk premia in the cross-section of rms. Learning helps explain the level of the value premium, and why the term structure of risk premium is increasing for value firms and decreasing for growth rms. Moreover, learning yields an upward-sloping term structure of interest rates and a downward-sloping term structure of market risk premium, whereas the full information economy predicts the opposite shapes. Therefore, learning helps understand the level and timing
of expected returns observed in the cross-section of risky and risk-free assets.

Keywords: Asset Pricing, Information Acquisition, Term Structures, Risk Premia, Value and Growth Firms

JEL Classification: D51, D53, D83, G12

Suggested Citation

Hasler, Michael and Khapko, Mariana and Khapko, Mariana and Marfè, Roberto, The Term Structures of Value and Growth Risk Premia (June 1, 2020). Available at SSRN: https://ssrn.com/abstract=3616087 or http://dx.doi.org/10.2139/ssrn.3616087

Michael Hasler (Contact Author)

University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance ( email )

800 West Campbell
Richarson, TX 75080
United States

Mariana Khapko

University of Toronto - Finance Area ( email )

Toronto, Ontario M5S 3E6
Canada

Swedish House of Finance ( email )

Drottninggatan 98
Stockholm
Sweden

Roberto Marfè

University of Turin - Collegio Carlo Alberto ( email )

Piazza Arbarello 8
Torino, Torino 10122
Italy

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