Smith, Peter N. (contributor); Sorensen, Steffen (contributor) - 2007
through the mean
of stock returns via the equity risk premium, and the other is through the volatility of returns.
We provide … important source
of increases in the risk premium. Our model of the relation between returns and their volatility
encompasses … Classification: G12, C32, C51, E44
Keywords: Equity Returns, Risk Premium, Asymmetry.
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1Introduction
The key to understanding how …