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Citations for "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach"

by John T. Scruggs

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  1. Warren Dean & Robert Faff, 2011. "Feedback trading and the behavioural ICAPM: multivariate evidence across international equity and bond markets," Applied Financial Economics, Taylor & Francis Journals, vol. 21(22), pages 1665-1678.
  2. Guo, Hui, 2004. "Limited Stock Market Participation and Asset Prices in a Dynamic Economy," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 39(03), pages 495-516, September.
  3. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management qt1s25177n, Anderson Graduate School of Management, UCLA.
  4. P N Smith & S Sorensen & M R Wickens, . "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.
  5. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
  6. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 20, December.
  7. Bent Jesper Christensen & Jie Zhu & Morten Ørregaard Nielsen, 2009. "Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model," Working Papers 1207, Queen's University, Department of Economics.
  8. Priestley, Richard, 2001. "Time-varying persistence in expected returns," Journal of Banking & Finance, Elsevier, vol. 25(7), pages 1271-1286, July.
  9. Lubos Pastor & Robert F. Stambaugh, . "The Equity Premium and Structural Breaks," Rodney L. White Center for Financial Research Working Papers 11-00, Wharton School Rodney L. White Center for Financial Research.
  10. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  11. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
  12. repec:dau:papers:123456789/6804 is not listed on IDEAS
  13. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, 06.
  14. Bali, Turan G. & Wu, Liuren, 2010. "The role of exchange rates in intertemporal risk-return relations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1670-1686, December.
  15. Nam, Kiseok & Pyun, Chong Soo & Arize, Augustine C., 2002. "Asymmetric mean-reversion and contrarian profits: ANST-GARCH approach," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 563-588, December.
  16. Kathryn A. Holmes & Robert W. Faff, 2004. "Stability, Asymmetry and Seasonality of Fund Performance: An Analysis of Australian Multi-sector Managed Funds," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(3-4), pages 539-578.
  17. 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.
  18. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  19. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  20. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers 2004s-24, CIRANO.
  21. Jian Yang & Yinggang Zhou & Zijun Wang, 2010. "Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence," Management Science, INFORMS, vol. 56(11), pages 2031-2049, November.
  22. Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
  23. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
  24. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  25. Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2013. "Regime Switches in the Risk-Return Trade-off," CEPR Discussion Papers 9698, C.E.P.R. Discussion Papers.
  26. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
  27. Éric Jacquier & Cédric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  28. Gregory H. Bauer & Keith Vorkink, 2007. "Multivariate Realized Stock Market Volatility," Staff Working Papers 07-20, Bank of Canada.
  29. Hedegaard, Esben & Hodrick, Robert J., 2016. "Estimating the risk-return trade-off with overlapping data inference," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 135-145.
  30. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  31. Holmes, Kathryn A. & Faff, Robert, 2008. "Estimating the performance attributes of Australian multi-sector managed funds within a dynamic Kalman filter framework," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 998-1011, December.
  32. Benoît Sévi & César Baena, 2013. "The explanatory power of signed jumps for the risk-return tradeoff," Economics Bulletin, AccessEcon, vol. 33(2), pages 1029-1046.
  33. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
  34. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
  35. Chris Stivers & Licheng Sun, 2002. "Stock market uncertainty and the relation between stock and bond returns," FRB Atlanta Working Paper 2002-3, Federal Reserve Bank of Atlanta.
  36. repec:wyi:journl:002153 is not listed on IDEAS
  37. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
  38. Wei-Xing Zhou & Didier Sornette, 2005. "Fundamental Factors versus Herding in the 2000-2005 US Stock Market and Prediction," Papers physics/0505079, arXiv.org.
  39. Rubio Irigoyen, Gonzalo & León, Angel & Nave, Juan, 2005. "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers 2005-08, University of the Basque Country - Department of Foundations of Economic Analysis II.
  40. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2003. "On market price of risk in Asian capital markets around the Asian flu," International Review of Financial Analysis, Elsevier, vol. 12(3), pages 241-265.
  41. Maio, Paulo, 2013. "Return decomposition and the Intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4958-4972.
  42. Cifarelli, Giulio & Paladino, Giovanna, 2009. "Oil and portfolio risk diversification," MPRA Paper 28293, University Library of Munich, Germany, revised Nov 2010.
  43. Gibson, Rajna & Mougeot, Nicolas, 2004. "The pricing of systematic liquidity risk: Empirical evidence from the US stock market," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 157-178, January.
  44. Pástor, Luboš & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," CEPR Discussion Papers 5462, C.E.P.R. Discussion Papers.
  45. Rene Coppe Pimentel & Taufiq Choudhry, 2014. "Stock Returns Under High Inflation and Interest Rates: Evidence from the Brazilian Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 50(1), pages 71-92, January.
  46. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  47. Girard, Eric & Rahman, Hamid & Zaher, Tarek, 2001. "Intertemporal risk-return relationship in the Asian markets around the Asian crisis," Financial Services Review, Elsevier, vol. 10(1-4), pages 249-272.
  48. Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
  49. Jensen, Mark J. & Maheu, John M., 2014. "Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis," FRB Atlanta Working Paper 2014-6, Federal Reserve Bank of Atlanta.
  50. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
  51. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198.
  52. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008.
  53. Esben Hedegaard & Robert J. Hodrick, 2014. "Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances," NBER Working Papers 20245, National Bureau of Economic Research, Inc.
  54. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis.
  55. Stivers, Christopher T., 2003. "Firm-level return dispersion and the future volatility of aggregate stock market returns," Journal of Financial Markets, Elsevier, vol. 6(3), pages 389-411, May.
  56. Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 0436, European Central Bank.
  57. Liu, Dehong & Gu, Hongmei & Lung, Peter, 2016. "The equity mispricing: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 211-223.
  58. Octavio Portolano Machado & Adriana Bruscato Bortoluzzo & Sérgio Ricardo Martins & Antonio Zoratto Sanvicente, 2013. "Inter-temporal CAPM: an empirical test with Brazilian market data," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(2), pages 149-180.
  59. Hui Guo & Christopher J. Neely, 2006. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Working Papers 2006-006, Federal Reserve Bank of St. Louis.
  60. Lally, Martin & Swidler, Steve, 2008. "Betas, market weights and the cost of capital: The example of Nokia and small cap stocks on the Helsinki Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 805-819, December.
  61. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  62. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
  63. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  64. Chevallier, Julien, 2013. "Variance risk-premia in CO2 markets," Economic Modelling, Elsevier, vol. 31(C), pages 598-605.
  65. Zhou, Wei-Xing & Sornette, Didier, 2006. "Fundamental factors versus herding in the 2000–2005 US stock market and prediction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 360(2), pages 459-482.
  66. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
  67. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2013. "The role of jump dynamics in the risk–return relationship," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 212-218.
  68. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  69. Ioannis A. Tampakoudis & Demetres N. Subeniotis & Ioannis G. Kroustalis, 2012. "Modelling volatility during the current financial crisis: an empirical analysis of the US and the UK stock markets," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 5(3/4), pages 171-194.
  70. Mazin A. M. Al Janabi & Abdulnasser Hatemi-J & Manuchehr Irandoust, 2010. "Modeling Time-Varying Volatility and Expected Returns: Evidence from the GCC and MENA Regions," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 46(5), pages 39-47, September.
  71. Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  72. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Working Papers 201414, Geary Institute, University College Dublin.
  73. Tyler Muir & Erkko Etula & Tobias Adrian, 2011. "Broker-Dealer Leverage and the Cross-Section of Stock Returns," 2011 Meeting Papers 1448, Society for Economic Dynamics.
  74. 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.
  75. Mendoza-Velázquez, Alfonso, 2009. "The Information Content and Redistribution Effects of State and Municipal Rating Changes in Mexico," Economics Discussion Papers 2009-17, Kiel Institute for the World Economy (IfW).
  76. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
  77. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  78. Abugri, Benjamin A. & Dutta, Sandip, 2014. "Are we overestimating REIT idiosyncratic risk? Analysis of pricing effects and persistence," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 249-259.
  79. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  80. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
  81. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
  82. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
  83. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
  84. Hui Guo, 2002. "Stock market returns, volatility, and future output," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 75-86.
  85. León Valle Ángel & Nave Pineda Juan & Rubio Irigoyen Gonzalo, 2005. "The Relationship between Risk and Expected Return in Europe," Working Papers 201025, Fundacion BBVA / BBVA Foundation.
  86. Reckling, Dennis, 2016. "Variance risk premia in CO2 markets: A political perspective," Energy Policy, Elsevier, vol. 94(C), pages 345-354.
  87. Andrew Harvey & Rutger-Jan Lange, 2015. "Modeling the Interactions between Volatility and Returns," Cambridge Working Papers in Economics 1518, Faculty of Economics, University of Cambridge.
  88. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  89. Łukasz Kwiatkowski, 2010. "Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 2(1), pages 59-94, January.
  90. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis.
  91. Li, Yuming, 2001. "Expected Returns and Habit Persistence," Review of Financial Studies, Society for Financial Studies, vol. 14(3), pages 861-99.
  92. Bruce Morley & Dennis Thomas, 2016. "An Empirical Analysis of UK House Price Risk Variation by Property Type," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 45-56, May.
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