| Author: | Whitelaw, R. |
| Title: | Stock market risk and return: an equilibrium approach |
| Journal: | Review of Financial Studies
2000 : FALL, VOL. 13:3, p. 521-548 |
| Index terms: | FINANCE STOCK MARKETS EQUILIBRIUM THEORY |
| Language: | eng |
| Abstract: | Empirical evidence that expected stock returns are weakly related to volatility at the market level appears to contradict the intuition that risk and return are positively related. The authors investigate this issue in a general equilibrium exchange economy characterized by a regime-switching consumption process with time-varying transition probabilities between regimes. |
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