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Time-varying risk premia and the cross section of stock returns [An article from: Journal of Banking and Finance]
Book Details
Author(s)H. Guo
PublisherElsevier
ISBN / ASINB000P6NS4E
ISBN-13978B000P6NS44
AvailabilityAvailable for download now
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Journal of Banking and Finance, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
This paper develops and estimates a heteroskedastic variant of Campbell's [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487-512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell's ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit.
Description:
This paper develops and estimates a heteroskedastic variant of Campbell's [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487-512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of predictive variables, which not only have superior forecasting abilities for stock returns and variance, but also are theoretically motivated. In contrast with the early authors, we find that Campbell's ICAPM performs significantly better than the CAPM. That is, the additional factors account for a substantial portion of the two CAPM-related anomalies, namely, the value premium and the momentum profit.
