Risk, Uncertainty, and Expected Returns
2016 ◽
Vol 51
(3)
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pp. 707-735
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AbstractA 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 premia. The empirical results from the size, book-to-market, momentum, and industry portfolios indicate that the conditional covariances of equity portfolios 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 8% premium relative to portfolios that are minimally correlated with VRP.
2018 ◽
Vol 21
(06)
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pp. 1850043
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2020 ◽
pp. 1-36
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2013 ◽
Vol 37
(9)
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pp. 3388-3400
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2018 ◽
Vol 17
(3)
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pp. 397-431
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2018 ◽
Vol 26
(4)
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pp. 391-423
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