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Determinants of stock market volatility and risk premia · Study

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ArticleDeterminants of stock market volatility and risk premia

Mordecai Kurz2005

OA

Articlegreen2005

Determinants of stock market volatility and risk premia

Mordecai Kurz · Hehui Jin · Maurizio Motolese

57 citations·0/0 files stored·Annals of Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 57 citations exist upstream.

References

1988Prospect theory: An analysis of decision under risk 1985The equity premium: A puzzle 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 1978Asset Prices in an Exchange Economy 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?1988Dividend yields and expected stock returns 1988Permanent and Temporary Components of Stock Prices 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities

Cited by

2007Diverse Beliefs and Time Variability of Risk Premia 2011Market States and Initial Returns: Evidence from Taiwanese IPOs 2006Beauty contests under private information and diverse beliefs: How different?2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic

Details

Year2005

Typearticle

Published2005-01-19

VenueAnnals of Finance

ISSN-L1614-2446

Languageen

Citations57

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1007/s10436-004-0004-5

openalex_workW2063481177

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