characteristics, namely the relative price and volatility levels. The empirical analysis reveals significant excess returns in … asset class's stand-alone volatility or correlation to the portfolio's remaining asset classes. Thus, this method lets … risk, equity premium, and volatility. We further define bandwidths for every risk factor loading. Once the effective …

volatility and the transitory component of market volatility. Bullish sentiment leads to higher market excess return while … premia of the permanent and transitory components of sentiment-affected volatility in the framework of ICAPM. …