Estimating market risk premium

By G. Robert. 2001

130 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/3ad823cc7255748793d686fe59a0e6c7e3684215

Citations in the corpus

• Why are stock returns and volatility negatively correlated (2007, unknown): “Finally, we find that in addition to the risk premium associated with conditional volatility, market participants require the risk premium associated with the risk of future changes in the volatility regime, consistent with the work of Mayfield (2004). For example, if market participants are in the ”
• Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model (2015, unknown): “These “jump”terms are inspired by Mayfield (2004) and are specifically included for our stock return application.”
• The risk return tradeoff in the long run: 1836–2003 (2007, unknown): “The interaction effect λM,1 is negative and significant suggesting that the risk return tradeoff is smaller during economic recessions, consistent with the evidence from Mayfield (2004).”