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Variations in economic uncertainty and risk premiums on capital assets · Study

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ArticleVariations in economic uncertainty and risk premiums on capital assets

Gerard Gennotte1993

Article1993

Variations in economic uncertainty and risk premiums on capital assets

Gerard Gennotte · Terry A. Marsh

113 citations·0/0 files stored·European Economic Review

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

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References

1973The Pricing of Options and Corporate Liabilities 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1985A Theory of the Term Structure of Interest Rates 1971Optimum consumption and portfolio rules in a continuous-time model 1982Time to Build and Aggregate Fluctuations 1985The equity premium: A puzzle 1978Asset Prices in an Exchange Economy 1987Expected stock returns and volatility

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1988Stock prices under time-varying dividend risk 2022Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics 1996Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.2010Simulated Score Methods and Indirect Inference for Continuous-time Models 2005Turnover and return in global stock markets 2014Can institutions and macroeconomic factors predict stock returns in emerging markets?

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Details

Year1993

Typearticle

Published1993-06-01

VenueEuropean Economic Review

ISSN-L0014-2921

Languageen

Citations113

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0014-2921(93)90107-l

openalex_workW2162182805

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2009What is the Shape of the Risk-Return Relation?

1996The P/E Multiple and Market Volatility