Journal ArticleDOI
Forward-Looking Market Risk Premium
Jin-Chuan Duan,Weiqi Zhang +1 more
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TLDR
A theoretical expression is derived that links forward-looking risk premium to investors' risk aversion and forward- looking volatility, skewness, and kurtosis of the corresponding cumulative return, and the model adopted is the generalized autoregressive conditional heteroskedasticity model for the physical return process.Citations
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Book ChapterDOI
Market Liquidity: Asset Pricing with Liquidity Risk
TL;DR: In this paper, a simple equilibrium model with liquidity risk is proposed, where a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return.
Journal ArticleDOI
Ambiguity Attitudes in a Large Representative Sample
TL;DR: In this article, a tractable method for measuring ambiguity attitudes and applying it in a large representative sample was introduced, which is associated with real economic decisions; specifically, a insensitivity is negatively related to stock market participation.
Journal ArticleDOI
Do jumps contribute to the dynamics of the equity premium
TL;DR: The authors investigated whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns.
Journal ArticleDOI
Supply Chains Involving a Mean-Variance-Skewness-Kurtosis Newsvendor: Analysis and Coordination
TL;DR: In this article, a mean-variance-skewness-kurtosis (MVSK) analysis for the news-vendor problem is conducted, and the authors derive the analytical expressions for the profit's mean, variance, skewness, and kurtosis in the standard news-veendor setting, and reveal their structural properties.
Journal ArticleDOI
Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests
TL;DR: In this paper, the authors explore the possibility that the dynamics of the implied volatility surface of individual equity options may be associated with movements in the volatility surfaces of S&P 500 index options.
References
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ReportDOI
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
Whitney K. Newey,Kenneth D. West +1 more
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
Journal ArticleDOI
Multifactor Explanations of Asset Pricing Anomalies
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this article, the authors show that many of the CAPM average-return anomalies are related, and they are captured by the three-factor model in Fama and French (FF 1993).
Posted Content
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance Matrix
TL;DR: In this article, a simple method of calculating a heteroskedasticity and autocorrelation consistent covariance matrix that is positive semi-definite by construction is described.
Journal ArticleDOI
Expected stock returns and volatility
TL;DR: In this article, the authors examined the relation between stock returns and stock market volatility and found that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns.