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The Cross-Sectional Variation of Volatility Risk Premia
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The Cross-Sectional Variation of Volatility Risk Premia (2014)The Cross-Sectional Variation of Volatili…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…Betting against beta (2013)Betting against betaExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…A skeptical appraisal of asset pricing tests☆ (2009)A skeptical appraisal of asse…Variance Risk Premiums (2008)Variance Risk PremiumsThe Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Delta-Hedged Gains and the Negative Market Volatility Risk Premium (2003)Delta-Hedged Gains and the Ne…Option Prices, Implied Price Processes, and Stochastic Volatility (2000)Option Prices, Implied Price …By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…On Persistence in Mutual Fund Performance (1997)On Persistence in Mutual Fund…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Substitution, Risk Aversion, …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)The equity premium: A puzzle (1985)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Optimal Investment, Growth Options, and Security Returns (1998)The Economics and Psychology of Personality Traits (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)A five-factor asset pricing model (2014)The Behavior of Stock-Market Prices (1965)THE 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.] (1975)The Pricing of Options and Corporate Liabilities (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Multifactor Explanations of Asset Pricing Anomalies (1996)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)… and the Cross-Section of Expected Returns (2015)Investor Psychology and Security Market Under‐ and Overreactions (1998)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Editor's Choice Digesting Anomalies: An Investment ApproachDissecting Anomalies with a Five-Factor Model (2015)Replicating Anomalies (2018)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1997On Persistence in Mutual Fund Performance17,267 cited
  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2013Betting against beta2,027 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 1991Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis1,703 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2013Risk, uncertainty and monetary policy1,237 cited
  • 2009A skeptical appraisal of asset pricing tests☆1,204 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2000Option Prices, Implied Price Processes, and Stochastic Volatility937 cited
  • 2003

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Delta-Hedged Gains and the Negative Market Volatility Risk Premium
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