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Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?

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Author Info
Chang-Jin Kim
James C. Morley
Charles Nelson

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Abstract

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File URL: http://wuecon.wustl.edu/~morley/kmn2_022600.pdf
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Paper provided by Department of Economics at the University of Washington in its series Discussion Papers in Economics at the University of Washington with number 0023.

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Date of creation: Feb 2000
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Handle: RePEc:fth:washer:0023

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  1. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  2. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington. [Downloadable!]
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  3. Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics. [Downloadable!]
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This page was last updated on 2009-11-20.

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