Beta and size equity premia following a high-VIX threshold
Naresh Bansal, Robert A. Connolly, Chris Stivers
| Year of publication: |
2022
|
|---|---|
| Authors: | Bansal, Naresh K. ; Connolly, Robert A. ; Stivers, Christopher T. |
| Subject: | factor risk premia | intermediary asset pricing | nonlinear threshold risk-return relation | stochastic volatility asset pricing | stock market volatility | CAPM | Risikoprämie | Risk premium | Börsenkurs | Share price | Volatilität | Volatility | Aktienmarkt | Stock market | Betafaktor | Beta risk | Kapitaleinkommen | Capital income | Schätzung | Estimation | Theorie | Theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22343 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287992