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Intertemporal risk–return relationships in bull and bear markets · Study

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ArticleIntertemporal risk–return relationships in bull and bear markets

Shue-Jen Wu2015

Article2015

Intertemporal risk–return relationships in bull and bear markets

Shue-Jen Wu · Wei-Ming Lee

43 citations·0/0 files stored·International Review of Economics & Finance

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Market Dynamics and Volatility

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]

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Year2015

Typearticle

Published2015-04-10

VenueInternational Review of Economics & Finance

ISSN-L1059-0560

Languageen

Citations43

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.iref.2015.03.008

openalex_workW2015956355

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1973

An Intertemporal Capital Asset Pricing Model

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