The value-growth premium in a time-varying risk return framework
Keehwan Park, Mookwon Jung, Zhongzheng Fang
| Year of publication: |
2023
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|---|---|
| Authors: | Park, Keehwan ; Jung, Mookwon ; Fang, Zhongzheng |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 88.2023, p. 1500-1512
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| Subject: | Distributed-lag model of oscillating dynamics | Long-run risk effect | Reverting risk and return relation | Risk premium effect | Time-varying risk effect | Volatility feedback effect | Risikoprämie | Risk premium | Volatilität | Volatility | Risiko | Risk | CAPM | Kapitaleinkommen | Capital income | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.07.043 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014475293