Wright, Jonathan H.; Zhou, Hao - 2007
interpreting financial market risk premia.
3 Predicting Excess Bond Returns
If jump risk were priced, then the risk premium on any …. However, adding the market jump volatility
risk measure (bottom panel), the model correctly predicts an average risk premium …a).
3.5 Forecasting Excess Stock Returns
The empirical link between the equity risk premium and macro-finance state …