Variance risk in aggregate stock returns and time-varying return predictability
Sungjune Pyun
| Year of publication: |
2019
|
|---|---|
| Authors: | Pyun, Sungjune |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 132.2019, 1, p. 150-174
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| Subject: | Variance risk premium | Leverage effect | Return predictability | Beta representation | Contemporaneous beta approach | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Börsenkurs | Share price | Betafaktor | Beta risk | Portfolio-Management | Portfolio selection | CAPM | Kapitalmarktrendite | Capital market returns | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2018.10.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012134795