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

Citations

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Cited by:

  1. Scott Mayfield, E., 2004. "Estimating the market risk premium," Journal of Financial Economics, Elsevier, vol. 73(3), pages 465-496, September.
  2. Bazgour Tarik & Heuchenne Cedric & Hübner Georges & Sougné Danielle, 2021. "How do volatility regimes affect the pricing of quality and liquidity in the stock market?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(1), pages 1-17, February.
  3. Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
  4. Hui Guo & Zijun Wang & Jian Yang, 2013. "Time‐Varying Risk–Return Trade‐off in the Stock Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 623-650, June.
  5. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  6. Huang, Yu-Fan & Startz, Richard, 2020. "Improved recession dating using stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 507-514.
  7. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
  8. Stavros Degiannakis & Panagiotis Delis & George Filis & George Giannopoulos, 2025. "Trading VIX on Volatility Forecasts: Another Volatility Puzzle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(4), pages 1602-1618, July.
  9. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 452-479, April.
  10. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
  11. Liu, Xiaochun, 2017. "Unfolded risk-return trade-offs and links to Macroeconomic Dynamics," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 1-19.
  12. Guglielmo Maria Caporale & Luis A. Gil-Alana & Miguel Martin-Valmayor, 2021. "Persistence in the market risk premium: evidence across countries," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(3), pages 413-427, July.
  13. Nauzer Balsara & Lin Zheng & Andrea Vidozzi & Luca Vidozzi, 2006. "Explaining momentum profits with an epidemic diffusion model," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(3), pages 407-422, September.
  14. Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 41-58, January.
  15. Sei‐Wan Kim & Bong‐Soo Lee, 2008. "Stock Returns, Asymmetric Volatility, Risk Aversion, And Business Cycle: Some New Evidence," Economic Inquiry, Western Economic Association International, vol. 46(2), pages 131-148, April.
  16. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
  17. Sebastian Fossati, 2017. "Output Growth And Structural Reform In Latin America: Have Business Cycles Changed?," Contemporary Economic Policy, Western Economic Association International, vol. 35(1), pages 62-75, January.
  18. Hematizadeh, Roksana & Tajaddini, Reza & Hallahan, Terrence, 2022. "Dynamic asset allocation strategy using a state-dependent Markov model: Applications to international equity markets," Journal of International Money and Finance, Elsevier, vol. 128(C).
  19. Kent Wang & Yuqiang Guo, 2014. "Predictability of time-varying jump premiums: Evidence based on calibration," Australian Journal of Management, Australian School of Business, vol. 39(3), pages 369-394, August.
  20. Hematizadeh, Roksana & Tajaddini, Reza, 2024. "A state-dependent international CAPM for partially integrated markets: Using local and US risk factors," Global Finance Journal, Elsevier, vol. 62(C).
  21. Mihaly Ormos & Dusan Timotity, 2016. "Unravelling the Asymmetric Volatility Puzzle: A Novel Explanation of Volatility Through Anchoring," Papers 1606.03597, arXiv.org.
  22. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
  23. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  24. Aspris, Angelo & Malloch, Hamish & Svec, Jiri, 2024. "Option implied dividends and the market risk premium," International Review of Economics & Finance, Elsevier, vol. 96(PB).
  25. Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014. "Regime switches in the risk–return trade-off," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
  26. Jia Liu & John M. Maheu, 2018. "Improving Markov switching models using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 297-318, April.
  27. Gabe de Bondt & Tuomas Peltonen & Daniel Santabarbara, 2011. "Booms and busts in China's stock market: estimates based on fundamentals," Applied Financial Economics, Taylor & Francis Journals, vol. 21(5), pages 287-300.
  28. Walentin Karl, 2010. "Earnings Inequality and the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-23, November.
  29. Amanjot Singh & Manjit Singh, 2016. "Risk–Return Relationship in BRIC Equity Markets: Evidence from Markov Regime Switching Model with Time-varying Transition Probabilities," Metamorphosis: A Journal of Management Research, , vol. 15(2), pages 69-78, December.
  30. Grillini, Stefano & Ozkan, Aydin & Sharma, Abhijit & Al Janabi, Mazin A.M., 2019. "Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 145-158.
  31. Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021. "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 25-51, January.
  32. Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
  33. Guidi, Francesco, 2008. "Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," MPRA Paper 11535, University Library of Munich, Germany.
  34. repec:dau:papers:123456789/9293 is not listed on IDEAS
  35. Amélie Charles & Olivier Darné & Zakaria Moussa, 2014. "The sensitivity of Fama-French factors to economic uncertainty," Working Papers hal-01015702, HAL.
  36. Ormos, Mihály & Timotity, Dusan, 2016. "Unravelling the asymmetric volatility puzzle: A novel explanation of volatility through anchoring," Economic Systems, Elsevier, vol. 40(3), pages 345-354.
  37. Kim Chang-Jin & Kim Yunmi, 2019. "A unified framework jointly explaining business conditions, stock returns, volatility and “volatility feedback news” effects," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-14, April.
  38. repec:dau:papers:123456789/7739 is not listed on IDEAS
  39. repec:wyi:journl:002192 is not listed on IDEAS
  40. Ekow A. Aikins & Alexander Kurov, 2025. "Which Way Does the Wind Blow Between SPX Futures and VIX Futures?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(2), pages 79-90, February.
  41. Marco Bazzi & Francisco Blasques & Siem Jan Koopman & Andre Lucas, 2017. "Time-Varying Transition Probabilities for Markov Regime Switching Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(3), pages 458-478, May.
  42. Stavros Degiannakis & Panagiotis Delis & George Filis & George Giannopoulos, 2025. "Trading VIX on volatility forecasts: another volatility puzzle?," Working Papers 336, Bank of Greece.
  43. Jinho Bae, 2011. "Does knowing the volatility states affect the market risk premium?," Annals of Finance, Springer, vol. 7(1), pages 83-94, February.
  44. Bernard Ben Sita, 2013. "Volatility links between US industries," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1273-1286, August.
  45. Azamat Abdymomunov, 2013. "Regime-switching measure of systemic financial stress," Annals of Finance, Springer, vol. 9(3), pages 455-470, August.
  46. 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.
  47. Ender Su & John Bilson, 2011. "Trading asymmetric trend and volatility by leverage trend GARCH in Taiwan stock index," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3891-3905.
  48. Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
  49. Lai, Jing-yi, 2012. "Shock-dependent conditional skewness in international aggregate stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(1), pages 72-83.
  50. Hanna, Alan J., 2018. "A top-down approach to identifying bull and bear market states," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 93-110.
  51. Azamat Abdymomunov & James Morley, 2011. "Time variation of CAPM betas across market volatility regimes," Applied Financial Economics, Taylor & Francis Journals, vol. 21(19), pages 1463-1478.
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