Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089758 | Journal of Banking & Finance | 2012 | 18 Pages |
Abstract
⺠Propose a Bayesian framework for incorporating market state uncertainty. ⺠Identify state-dependent dynamics for expected returns, volatilities, and loadings. ⺠The forecasted Fama-French factor risk premiums predict future GDP growth rates. ⺠State-independent pricing models significantly overestimate the cost of equity.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yufeng Han,