We study the evolution of the US stock market risk premium in periods of crisis using a multivariate GARCH-in-Mean model. This topic is particularly interesting as it enables us to learn about investor?s strategies and their attitude vis-à-vis of risk within financial crises. To do so, we estimate in a first step a dynamic CAPM. We study, in a second step the structural breaks in the US risk premium. Finally, we explain our results by important facts and economic events. In particular, we provide economic analysis for the different switching regimes and changes characterizing the risk premium dynamics over the last decades. As expected, our findings show that the US risk premium increased significantly during periods of crisis, but interestingly the recent global financial crisis of 2008-2009 seems to have induced the most important change in the risk aversion and the risk premium for the US investors.Keywords: US Risk Premium; CAPM; Multivariate GARCH; Structural Breaks.JEL codes: G15, F36, C32 Investors Expectations
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