Arbeitspapier
Risk, Uncertainty, and Expected Returns
A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book-to-market, and industry portfolios as well as individual stocks indicate that the conditional covariances of equity portfolios (individual stocks) with market and uncertainty predict the time-series and cross-sectional variation in stock returns. We find that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP) carry a significant, annualized 6 to 8 percent premium relative to portfolios that are minimally correlated with VRP.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 1306
- Klassifikation
-
Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
Estimation: General
- Thema
-
risk
uncertainty
expected returns
ICAPM
time-series and cross-sectional stock returns
variance risk premium
conditional asset pricing model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bali, Turan G.
Zhou, Hao
- Ereignis
-
Veröffentlichung
- (wer)
-
Koç University-TÜSİAD Economic Research Forum (ERF)
- (wo)
-
Istanbul
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bali, Turan G.
- Zhou, Hao
- Koç University-TÜSİAD Economic Research Forum (ERF)
Entstanden
- 2013
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