The value-growth premium in a time-varying risk return framework
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DOI: 10.1016/j.iref.2023.07.043
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References listed on IDEAS
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More about this item
Keywords
Time-varying risk effect; Long-run risk effect; Volatility feedback effect; Risk premium effect; Reverting risk and return relation; Distributed-lag model of oscillating dynamics;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
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