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