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| Tekijä: | Scruggs, J. T. |
| Otsikko: | Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: a two-factor approach. |
| Lehti: | Journal of Finance
1998 : APR, VOL. 53:2, p. 575-603 |
| Asiasana: | ASSETS RISK ANALYSIS MARKET RESEARCH PRICE THEORY |
| Kieli: | eng |
| Tiivistelmä: | Scruggs attempts to resolve the nature of the intertemporal relation between risk and return by estimating a conditional two-factor model motivated by Merton's intertemporal capital asset pricing model. When long-term government bond returns are included as a second factor, the partial relation between the market risk premium and conditional market variance is found to be positive and significant. The paper also helps explain the convoluted empirical relation between the market risk premium, conditional market variance, and the nominal risk-free rate. |
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