Time-varying risk aversion and return predictability
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DOI: 10.1016/j.iref.2017.02.006
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Cited by:
- Hammerschmid, Regina & Lohre, Harald, 2018. "Regime shifts and stock return predictability," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 138-160.
- Ni, Zhongxin & Wang, Linyu, 2023. "The predictability of skewness risk premium on stock returns: Evidence from Chinese market," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 576-594.
- Yun, Jaeho, 2020. "Variance risk premium in a small open economy with volatile capital flows: The case of Korea," International Review of Economics & Finance, Elsevier, vol. 65(C), pages 105-125.
- Tang, Tao & Luo, Ronghua & Gu, Jing, 2023. "Lifetime asset allocation with long run risk and time various risk aversion," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 230-251.
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More about this item
Keywords
Time-varying risk aversion; Return predictability; S&P 500 index returns;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
Statistics
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