We apply a new methodology for identifying pervasive and discrete changes (“breaks”) in cross-sectional risk premia. Size, value, and investment risk premia have fallen off to the point where they are insignificantly different from zero at the end of the sample period. The market risk premium has also declined systematically over time but remains significant and positive as do the momentum and profitability risk premium. We construct a new instability risk factor from cross-sectional differences in individual stocks’ exposure to time-varying risk premia and show that this factor earns a premium comparable to that of commonly used risk factors.

中文翻译：

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风险溢价消失了吗？

我们应用一种新方法来识别横截面风险溢价中普遍和离散的变化（“中断”）。规模、价值和投资风险溢价已经下降到与样本期末的零相差不大的程度。随着时间的推移，市场风险溢价也系统性下降，但与动量和盈利风险溢价一样，仍然显着和积极。我们从个股对随时间变化的风险溢价敞口的横截面差异中构建了一个新的不稳定性风险因子，并表明该因子获得的溢价与常用风险因子相当。