Time-Varying Risk Premia and The Cross Section of Stock Returns

Abstract

This paper develops and estimates a heteroskedastic variant of Campbell s [Campbell, J., 1993. Intertemporal asset pricing without consumption data. American Economic Review 83, 487–512] ICAPM, in which risk factors include a stock market return and variables forecasting stock market returns or variance. Our main innovation is the use of a new set of… (More)

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Cite this paper

@inproceedings{Guo2003TimeVaryingRP, title={Time-Varying Risk Premia and The Cross Section of Stock Returns}, author={Hui Guo}, year={2003} }