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predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …
Persistent link: https://www.econbiz.de/10012487731
A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...
Persistent link: https://www.econbiz.de/10008798062
of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …
Persistent link: https://www.econbiz.de/10010256362