Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
"There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary innovation is to model and identify empirically the two components of expected returns--the risk component and the component due to the desire to hedge changes in investment opportunities. We also explicitly model the effect of shocks to expected returns on ex post returns and use implied volatility from traded options to increase estimation efficiency. As a result, the coefficient of relative risk aversion is estimated more precisely, and we find it to be positive and reasonable in magnitude. Although volatility risk is priced, as theory dictates, it contributes only a small amount to the time-variation in expected returns. Expected returns are driven primarily by the desire to hedge changes in investment opportunities. It is the omission of this hedge component that is responsible for the contradictory and counter-intuitive results in the existing literature"--Federal Reserve Bank of St. Louis web site.
Buy this book
![Loading indicator](/images/ajax-loader-bar.gif)
Subjects
Stock exchanges, Prices, Mathematics, Stocks, Investments, Risk, EvaluationShowing 2 featured editions. View all 2 editions?
Edition | Availability |
---|---|
1
Uncovering the risk-return relation in the stock market
2003, National Bureau of Economic Research
in English
|
zzzz
Libraries near you:
WorldCat
|
2
Uncovering the risk-return relation in the stock market
2001, Federal Reserve Bank of St. Louis
Electronic resource
in English
|
aaaa
|
Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 1/28/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?History
- Created April 1, 2008
- 6 revisions
Wikipedia citation
×CloseCopy and paste this code into your Wikipedia page. Need help?
December 13, 2020 | Edited by MARC Bot | import existing book |
July 29, 2012 | Edited by VacuumBot | Updated format '[electronic resource] /' to 'Electronic resource' |
August 14, 2010 | Edited by WorkBot | merge works |
December 12, 2009 | Edited by WorkBot | link works |
April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record |