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Premium for Heightened Uncertainty: Solving the FOMC Puzzle
16 references·0 citing·37 second hopsampled
Premium for Heightened Uncertainty: Solving the FOMC Puzzle (2018)Premium for Heightened Uncertainty: Solvi…What is the Expected Return on the Market?* (2016)What is the Expected Return o…The Pre-FOMC Announcement Drift (2012)The Pre-FOMC Announcement Dri…Tails, Fears, and Risk Premia (2011)Tails, Fears, and Risk PremiaExpected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsThe jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric Volatility and Ris…Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Differential Information and Dynamic Behavior of Stock Trading Volume (1995)Differential Information and …No news is good news (1992)No news is good newsNo News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns (1991)No News is Good News: An Asym…Expected stock returns and volatility (1987)Expected stock returns and vo…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)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)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)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 Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)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)A Theory of the Term Structure of Interest Rates (1985)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)The Impact of Jumps in Volatility and Returns (2003)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Is the correlation in international equity returns constant: 1960–1990? (1995)Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)
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References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1992No news is good news1,929 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2011Tails, Fears, and Risk Premia814 cited
  • 2012The Pre-FOMC Announcement Drift630 cited
  • 1991No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns623 cited
  • 2016What is the Expected Return on the Market?*540 cited
  • 1995Differential Information and Dynamic Behavior of Stock Trading Volume

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