Evaluation of risk premium in financial market and its application to asset pricing and risk management

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In this research, we firstly estimate equity risk premium in the frame of consumption-based capital asset pricing model with the risk preference of investors. In Japan, we find that the consecutive decline of the equity market is due to the low growth of the economy. We also propose portfolio strategy using the beta-risk model and examine the performance of the model. Secondly, as the related major results, we evaluate the risk premium of various kinds of risk factors such as the liquidity risk, the inflation risk and so on from financial market or macro-economic data and utilize them in asset pricing or risk management.