Determinants of stock market volatility and risk premia

Annals of Finance

Volumn 1, Issue 2, 2005, Pages 109-147

  Kurz, Mordecai ^a   Jin, Hehui ^a   Motolese, Maurizio ^b  

^a STANFORD UNIVERSITY   (United States)

^b UNIVERSITÀ CATTOLICA DEL SACRO CUORE   (Italy)

Author keywords

Empirical distribution; Equity risk premium; Heterogenous beliefs; Market states of beliefs; Market volatility; Optimism; Over confidence; Pessimism; Rational belief; Riskless rate

Indexed keywords

EID: 13444272123     PISSN: 16142446     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10436-004-0004-5     Document Type: Article

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