| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20245 |
| 来源ID | Working Paper 20245 |
| Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances | |
| Esben Hedegaard; Robert J. Hodrick | |
| 发表日期 | 2014-06-19 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state variables. We find a positive and significant price of risk for the covariance with the market return that is driven by the time series variation in the conditional covariances, and the risk-premium on the market remains positive and significant after controlling for additional state variables. Our method estimates the risk-return tradeoff in the ICAPM using multiple portfolios as test assets. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20245 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/577918 |
| 推荐引用方式 GB/T 7714 | Esben Hedegaard,Robert J. Hodrick. Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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