We develop a structural asset pricing model to investigate the relationship between stockmarket risk and return. The structural model is estimated using the conditional market variance implied by Samp;P 100 index option prices. Relative risk aversion is precisely identified and is found to be...

We develop a structural asset pricing model to investigate the relationship between stock market risk and return. The structural model is estimated using the conditional market variance implied by Samp;P 100 index option prices. Relative risk aversion is precisely identified and is found to be...

We develop a structural asset pricing model to investigate the relationship between stockmarket risk and return. The structural model is estimated using the conditional market variance implied by Samp;P 100 index option prices. Relative risk aversion is precisely identified and is found to be...

There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary...

There is an ongoing debate in the literature about the apparent weak or negative relation between risk (conditional variance)and return (expected returns)in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation.Our primary...

There is an ongoing debate in the literature about the apparent weak or negative relationbetween risk (conditional variance) and return (expected returns) in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM to investigate this relation. Our primary...