Asymmetric stock market volatility and the cyclical behavior of expected returns

Journal of Financial Economics

Volumn 86, Issue 2, 2007, Pages 446-478

  Mele, Antonio ^a,b,c  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b CeRP Collegio Carlo Alberto   (Italy)

^c UNIVERSITY OF TURIN   (Italy)

Author keywords

Countercyclical price sensitivity; Countercyclical volatility; Pricing kernel restrictions; Risk adjusted discount rates

Indexed keywords

EID: 34848917566     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2006.10.002     Document Type: Article

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