haku: @indexterm risk premium / yhteensä: 33
viite: 7 / 33
| Tekijä: | Ang, A. Liu, J. |
| Otsikko: | Risk, return and dividends |
| Lehti: | Journal of Financial Economics
2007 : JUL, VOL. 85:1, p. 1-38 |
| Asiasana: | models stock returns risk premium dividends |
| Vapaa asiasana: | return pridictability stochastic volatility |
| Kieli: | eng |
| Tiivistelmä: | The findings of this study give insight into the nature of the risk-return relation and the predictability of stock returns. The study demonstrates that given a dividend process, any one of three variables - expected return, return volatility, and the price-dividend ratio - completely determines the other two. By parameterizing only one of these processes, common empirical specifications place strong, and sometimes counter-factual restrictions on the dynamics of the other variables. |
SCIMA