کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5091150 1375662 2006 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time-varying risk premia and the cross section of stock returns
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Time-varying risk premia and the cross section of stock returns
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 30, Issue 7, July 2006, Pages 2087-2107
نویسندگان
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