Articlegreen1991

The Variation of Economic Risk Premiums

1,740 citations0/0 files storedJournal of Political Economy

No readable copy stored yet — this record is metadata only.

Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

This paper provides an analysis of the predictable components of monthly common stock and bond portfolio returns. Most of the predictability is associated with sensitivity to economic variables in a rational asset pricing model with multiple betas. The stock market risk premimum is the most important for capturing predictable variation of the stock portfolios, while premiums associated with interest rate risks capture predictability of the bond returns. Time variation in the premium for beta risk is more important than changes in the betas.

Citations in this library

Stored only when both papers are in the corpus — 1,740 citations exist upstream.

References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1973Risk, Return, and Equilibrium: Empirical Tests 1970Efficient Capital Markets: A Review of Theory and Empirical Work 1985A Theory of the Term Structure of Interest Rates 1976The arbitrage theory of capital asset pricing 1973An Intertemporal Capital Asset Pricing Model 1986Economic Forces and the Stock Market

Cited by

1996Measuring Fund Strategy and Performance in Changing Economic Conditions 2002Asymmetric correlations of equity portfolios 1996Modeling the conditional distribution of interest rates as a regime-switching process 2003Idiosyncratic Risk Matters!1991The World Price of Covariance Risk 2014Investor Sentiment Aligned: A Powerful Predictor of Stock Returns 2012Stock Market Volatility and Macroeconomic Fundamentals

Imported from OpenAlex (CC0) — nothing here is generated.