An Intertemporal CAPM with Stochastic Volatility
By John Y. Campbell, Stefano Giglio, Christopher Polk, Robert S. Turley. 2018
388 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/9f03926a5c648391c4b692773086e4a548236b45
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Hao Zhou
- Stefano Giglio
- Ian Dew-Becker
- Turan G. Bali
- Ivan Shaliastovich
- S. D. Tella
- Gill Segal
- Amir Yaron
Citations in the corpus
- A tale of two option markets: Pricing kernels and volatility risk ☆ (2014, neutral): “The pricing kernel estimates produced by these studies exhibit a puzzling U-shape as a function of market return, in conflict with a standard expected utility theory.”
- Good and bad uncertainty: Macroeconomic and financial market implications ☆ (2015, background): “…al. (2013) find both the betas and market price of uncertainty risk to be negative, and thus uncertainty to positively contribute to equity risk premia, whereas the evidence in Campbell et al. (2012) is more mixed in terms of whether assets have negative or positive exposure (beta) to volatility.”
- Asset Pricing in the Frequency Domain: Theory and Empirics (2016, methodology): “…that the 37 Realized variance has been often used in studies of long-run risks and intertemporal CAPM, for example, by Bansal et al. (2014) and Campbell et al. (2015). estimates of the risk prices are not statistically significant.38 Overall, we do not have enough power in our data to be able…”
- Uncertainty Shocks and Balance Sheet Recessions (2017, background): “Idiosyncratic risk : I use data from Campbell et al. (2001) on the idiosyncratic volatility of stock returns to estimate the process for idiosyncratic risk dνt = 1.”
- Asset Pricing: A Tale of Two Days (2014, neutral): “Bansal, Kiku, Shaliastovich, and Yaron (2012) propose such a model, as do Campbell et al. (2012).”
- Risk, Uncertainty, and Expected Returns (2011, methodology): “Following Bali (2008) and Campbell et al. (2014), we use the size and book-to-market portfolios of Kenneth French as test assets.”