Variance risk in aggregate stock returns and time-varying return predictability

10.1016/j.jfineco.2018.10.002

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Bibliographic Details
Main Author:	PYUN SUNG JUNE
Other Authors:	FINANCE
Format:	Article
Published:	Elsevier 2021
Subjects:	Variance risk premium Leverage effect Return predictability Beta representation Contemporaneous beta approach
Online Access:	https://scholarbank.nus.edu.sg/handle/10635/193706
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-193706
record_format	dspace
spelling	sg-nus-scholar.10635-1937062024-04-04T00:33:49Z Variance risk in aggregate stock returns and time-varying return predictability PYUN SUNG JUNE FINANCE RISK MANAGEMENT INSTITUTE Variance risk premium Leverage effect Return predictability Beta representation Contemporaneous beta approach 10.1016/j.jfineco.2018.10.002 Journal of Financial Economics 132 1 150-174 2021-07-06T01:46:58Z 2021-07-06T01:46:58Z 2019-04-01 Article PYUN SUNG JUNE (2019-04-01). Variance risk in aggregate stock returns and time-varying return predictability. Journal of Financial Economics 132 (1) : 150-174. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jfineco.2018.10.002 0304405X https://scholarbank.nus.edu.sg/handle/10635/193706 Elsevier
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Variance risk premium Leverage effect Return predictability Beta representation Contemporaneous beta approach
spellingShingle	Variance risk premium Leverage effect Return predictability Beta representation Contemporaneous beta approach PYUN SUNG JUNE Variance risk in aggregate stock returns and time-varying return predictability
description	10.1016/j.jfineco.2018.10.002
author2	FINANCE
author_facet	FINANCE PYUN SUNG JUNE
format	Article
author	PYUN SUNG JUNE
author_sort	PYUN SUNG JUNE
title	Variance risk in aggregate stock returns and time-varying return predictability
title_short	Variance risk in aggregate stock returns and time-varying return predictability
title_full	Variance risk in aggregate stock returns and time-varying return predictability
title_fullStr	Variance risk in aggregate stock returns and time-varying return predictability
title_full_unstemmed	Variance risk in aggregate stock returns and time-varying return predictability
title_sort	variance risk in aggregate stock returns and time-varying return predictability
publisher	Elsevier
publishDate	2021
url	https://scholarbank.nus.edu.sg/handle/10635/193706
_version_	1795374655147606016

Variance risk in aggregate stock returns and time-varying return predictability

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