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Expected Stock Returns and Variance Risk Premia

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2006The Cross‐Section of Volatility and Expected Returns4,576 cited
1989Business conditions and expected returns on stocks and bonds3,934 cited
1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
1988Permanent and Temporary Components of Stock Prices3,036 cited
1980On estimating the expected return on the market2,818 cited
1977Asset returns and inflation2,701 cited
2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
1986Predicting returns in the stock and bond markets1,715 cited
1984Stock Prices and Social Dynamics1,615 cited
1992On the Estimation of Beta-Pricing Models1,615 cited
1999Predictive regressions1,614 cited
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
2006Stock Return Predictability: Is it There?1,295 cited

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2005The Model-Free Implied Volatility and Its Information Content1,012 cited

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