Volatility Risk Premium, Risk Aversion and the Cross-Section of Stock Returns

Forskningsoutput: TidskriftsbidragArtikel i vetenskaplig tidskrift

Abstract

We test if innovations in investor risk aversion are a priced factor in the stock market. Time series tests show that the new factor partly explains the strong momentum effect in stock returns. Furthermore, using 25 portfolios sorted on book-to-market and size as test assets, our new factor together with the market factor explains 64% of the variation in
average returns compared to 60% for the Fama-French model. The new factor is generally significant with an estimated risk premium close to its time series mean also when industry portfolios and portfolios sorted on previous returns are augmented to the test assets.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Företagsekonomi
  • Nationalekonomi

Nyckelord

Originalspråkengelska
Sidor (från-till)1079-1100
TidskriftFinancial Review
StatusPublished - 2010
PublikationskategoriForskning
Peer review utfördJa