Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10127715 | Economics Letters | 2018 | 10 Pages |
Abstract
We hypothesize that good (bad) market news causes overpricing (underpricing) in the short-term, thereby inducing a weak or negative (significantly positive) intertemporal risk-return tradeoff. We verify this asymmetry through the indirect relation of a weak or positive association between excess market returns and contemporaneous volatility innovations conditional on good news, and a significantly negative relation conditional on bad news. We also show that the inclusion of a price adjustment term is critical for reliable estimation of the intertemporal risk-return relation.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Joseph M. Marks, Kiseok Nam,