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An econometric analysis of time-varying risk premia in large cross-sectional equity datasets

Ossola, Elisa ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO001.

In this thesis, we develop a new econometric methodology to estimate the time-varying risk premia implied by conditional linear asset pricing models. In contrast to the classical approach, we estimate risk premia from a large dataset of returns of individual stocks instead of portfolios. The aim is to avoid the potential bias and loss of information implied by sorting and grouping stocks into...