interpretation of the value premium also sheds light on the puzzling empirical relation between the stock market risk and return … controlling for the covariance between the stock market return and the value premium. Moreover, we also document a positive and … to be robust using both the realized volatility model and the GARCH model, confirm that the value premium cannot be …

"This paper finds strong evidence of time-variations in the joint distribution of returns on a stock market portfolio … portfolios are found to be driven by underlying regimes that introduce short-run market timing opportunities for investors. The …