The Term Structures of Value and Growth Risk Premia

44 Pages Posted: 2 Jun 2020 Last revised: 9 Jan 2023

See all articles by Michael Hasler

Michael Hasler

University of Neuchatel

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 firms. Learning helps explain the level of the market risk premium as well as the value premium. Furthermore, the learning model predicts a term structure of risk premium that is downward sloping for the market, upward sloping for value firms, and flat for growth firms, consistent with recent findings (Giglio, Kelly, and Kozak, 2021). Overall, learning helps understand the level and timing of expected excess returns observed in the cross-section of risky 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 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 Neuchatel

2, A.-L. Breguet
Neuchatel, CH-2000
Switzerland

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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