González Sánchez, Mariano2024-05-202024-05-2020221339–1358https://doi.org/10.1080/1540496X.2021.1873128https://hdl.handle.net/20.500.14468/11914The aim of this empirical study was to estimate and compare the term structure of risk factor premiums in developed and emerging markets. Most studies use dividend and variance swap data, but as that information is not available for all markets, we use wavelet decomposition of the observed return to calculate sensitivity to risk factors and obtain a term structure for risk factor premiums. The results show that only the market risk factor (for both types of markets) and the conservative minus aggressive factor (only for developed markets) show a term structure for risk premiums.eninfo:eu-repo/semantics/openAccessjournal articleTerm structurerisk premiumwaveletsmulti-factorial CAPMtime-frequency decomposition