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Variations in economic uncertainty and risk premiums on capital assets

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  • Gennotte, Gerard
  • Marsh, Terry A.
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    File URL: http://www.sciencedirect.com/science/article/B6V64-45JK4R0-W/2/818bf0422a83cbd472064a9569625f2b
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    Bibliographic Info

    Article provided by Elsevier in its journal European Economic Review.

    Volume (Year): 37 (1993)
    Issue (Month): 5 (June)
    Pages: 1021-1041

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    Handle: RePEc:eee:eecrev:v:37:y:1993:i:5:p:1021-1041

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    Web page: http://www.elsevier.com/locate/eer

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    Cited by:
    1. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2005. "There is a risk-return trade-off after all," Journal of Financial Economics, Elsevier, vol. 76(3), pages 509-548, June.
    2. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    3. Barndorf-Nielsen, O.E. & Shephard, N., 1998. "Aggregation and Model Construction for Volatility Models," Economics Papers 141, Economics Group, Nuffield College, University of Oxford.
    4. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
    5. Collard, Fabrice & Fève, Patrick & Langot, François & Perraudin, Corinne, 1999. "A structural model for US aggregate job flows," CEPREMAP Working Papers (Couverture Orange) 9910, CEPREMAP.
    6. James Morley, 2000. "Is There a Positive Intertemporal Tradeoff Between Risk and Return After All?," Econometric Society World Congress 2000 Contributed Papers 0915, Econometric Society.
    7. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, vol. 72(2), pages 217-257, May.
    8. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 3(4), pages 187-219, December.
    9. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
    10. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
    11. Dey, Malay K., 2005. "Turnover and return in global stock markets," Emerging Markets Review, Elsevier, vol. 6(1), pages 45-67, April.
    12. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    13. Bakshi, Gurdip S. & Zhiwu, Chen, 1997. "An alternative valuation model for contingent claims," Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
    14. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus.

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