search query: @author Harvey, C. R. / total: 9
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| Author: | Ferson, W. E. Harvey, C. R. |
| Title: | The variation of economic risk premiums |
| Journal: | Journal of Political Economy
1991 : APR, VOL. 99:2, p. 385-415 |
| Index terms: | EQUITY PORTFOLIOS BONDS STOCK MARKETS RISK PRICING PREMIUM BONDS |
| Language: | eng |
| Abstract: | Predictable components of monthly common stock and bond portfolio returns are analyzed. Predictability is mainly associated with sensitivity to economic variables in a rational asset pricing model with multiple betas. Stock market risk premium is the most important for capturing predictable variation of the stock portfolios, while premiums associated with interest rate risks capture predictability of the bond returns. Time variation in the premium for beta risk is more important than changes in the betas. |
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