Guo, Hui (contributor) - 2003 - [Elektronische Ressource], rev
WORKING PAPER SERIES
Time-Varying Risk Premia and the Cross Section of Stock
Returns ….gatewayarch.com
Time-Varying Risk Premia and the Cross Section of Stock Returns
Hui Guo
*a
Research Division
Federal Reserve Bank of St …
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Abstract: This paper develops and estimates a heteroskedastic variant of Campbell’s (1993)
ICAPM, in which risk factors …