Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?

Journal of Empirical Finance

Volumn 8, Issue 4, 2001, Pages 403-426

  Kim, Chang Jin ^a   Morley, James C ^b   Nelson, Charles R ^c  

^a Korea University   (South Korea)

^b WASHINGTON UNIVERSITY   (United States)

^c UNIVERSITY OF WASHINGTON   (United States)

Author keywords

G12; G14; Markov switching; Mean reversion; Time varying parameter; Volatility feedback

Indexed keywords

EID: 0041906640     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00034-2     Document Type: Article

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