메뉴 건너뛰기




Volumn 21, Issue 4, 1998, Pages 431-446

Time variations in risk premia, volatility, and reward-to-volatility

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0000891437     PISSN: 02702592     EISSN: 14756803     Source Type: Journal    
DOI: 10.1111/j.1475-6803.1998.tb00696.x     Document Type: Article
Times cited : (11)

References (20)
  • 1
    • 84993905064 scopus 로고
    • Time-varying world market integration
    • Bekaert, G. and C. R. Harvey, 1995, Time-varying world market integration, Journal of Finance 50, 403–44.
    • (1995) Journal of Finance , vol.50 , pp. 403-444
    • Bekaert, G.1    Harvey, C.R.2
  • 2
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307–27.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 3
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J. Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373–400.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-400
    • Campbell, J.Y.1
  • 4
    • 0001077372 scopus 로고
    • Intertemporal asset pricing without consumption data
    • Campbell, J. Y., 1993, Intertemporal asset pricing without consumption data, American Economic Review 83, 487–512.
    • (1993) American Economic Review , vol.83 , pp. 487-512
    • Campbell, J.Y.1
  • 5
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, J. C., J. E. Ingersoll Jr., and S. A. Ross, 1985, An intertemporal general equilibrium model of asset prices, Econometrica 53, 363–84.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 84993909002 scopus 로고
    • The world price of foreign exchange risk
    • Dumas, D. and B. Solnik, 1995, The world price of foreign exchange risk, Journal of Finance 50, 445–79.
    • (1995) Journal of Finance , vol.50 , pp. 445-479
    • Dumas, D.1    Solnik, B.2
  • 7
    • 84993912194 scopus 로고
    • Expected returns, time-varying risk, and risk premia
    • Evans, M. D., 1994, Expected returns, time-varying risk, and risk premia, Journal of Finance 49, 655–79.
    • (1994) Journal of Finance , vol.49 , pp. 655-679
    • Evans, M.D.1
  • 8
    • 34250890715 scopus 로고
    • Business conditions and expected returns on stocks and bonds
    • Fama, E. F. and K. R. French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23–49.
    • (1989) Journal of Financial Economics , vol.25 , pp. 23-49
    • Fama, E.F.1    French, K.R.2
  • 10
    • 21344486016 scopus 로고
    • The risk and predictability of international equity returns
    • Ferson, W. E. and C. R. Harvey, 1993, The risk and predictability of international equity returns, Review of Financial Studies 6, 527–66.
    • (1993) Review of Financial Studies , vol.6 , pp. 527-566
    • Ferson, W.E.1    Harvey, C.R.2
  • 11
    • 84993601065 scopus 로고
    • On the relation between the expected value and the volatility of the nominal excess return on stocks
    • Glosten, L., R. Jagannathan, and D. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance 48, 1779–1801.
    • (1993) Journal of Finance , vol.48 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 12
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L. P., 1982, Large sample properties of generalized method of moments estimators, Econometrica 50, 1029–84.
    • (1982) Econometrica , vol.50 , pp. 1029-1084
    • Hansen, L.P.1
  • 13
    • 0000425816 scopus 로고
    • Time-varying conditional covariances in tests of asset pricing models
    • Harvey, C. R., 1989, Time-varying conditional covariances in tests of asset pricing models, Journal of Financial Economics 24, 289–317.
    • (1989) Journal of Financial Economics , vol.24 , pp. 289-317
    • Harvey, C.R.1
  • 14
    • 84977722638 scopus 로고
    • The world price of covariance risk
    • Harvey, C. R., 1991, The world price of covariance risk, Journal of Finance 46, 111–57.
    • (1991) Journal of Finance , vol.46 , pp. 111-157
    • Harvey, C.R.1
  • 15
    • 0009036165 scopus 로고    scopus 로고
    • Tests of relations among marketwide factors, firm-specific variables, and stock returns using a conditional asset pricing model
    • He, J., R. Kan, L. Ng, and C. Zhang, 1996, Tests of relations among marketwide factors, firm-specific variables, and stock returns using a conditional asset pricing model, Journal of Finance 51, 1891–1908.
    • (1996) Journal of Finance , vol.51 , pp. 1891-1908
    • He, J.1    Kan, R.2    Ng, L.3    Zhang, C.4
  • 17
    • 0038812564 scopus 로고    scopus 로고
    • Expected stock returns, risk premia, and volatilities of economic factors
    • Li, Y., 1998, Expected stock returns, risk premia, and volatilities of economic factors, Journal of Empirical Finance 5, 69–97.
    • (1998) Journal of Empirical Finance , vol.5 , pp. 69-97
    • Li, Y.1
  • 18
    • 0001738730 scopus 로고
    • An intertemporal asset pricing model
    • Merton, R., 1973, An intertemporal asset pricing model, Econometrica 41, 867–87.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.1
  • 19
    • 0001751260 scopus 로고
    • Hypothesis testing with efficient method of moments estimation
    • Newey, W. K. and K. D. West, 1987, Hypothesis testing with efficient method of moments estimation, International Economic Review 28, 777–87.
    • (1987) International Economic Review , vol.28 , pp. 777-787
    • Newey, W.K.1    West, K.D.2
  • 20
    • 84993911684 scopus 로고
    • Time variation and covariations in the expectation and volatility of stock market returns
    • Whitelaw, R. F., 1994, Time variation and covariations in the expectation and volatility of stock market returns, Journal of Finance 49, 515–41.
    • (1994) Journal of Finance , vol.49 , pp. 515-541
    • Whitelaw, R.F.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.