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Systematic risk, stochastic volatility, idiosyncratic volatility
stock return predictability, option-implied volatility smirks, cross-sectional asset pricing
asymmetric risk, cross-sectional asset pricing, downside correlation, downside risk, momentum effect
default risk, equities, Merton's (1974) model, size and book-to-market effects
asymmetric risk, cross-sectional asset pricing, downside risk, first-order risk aversion, higher-order moments
idiosyncratic volatility, Fama-MacBeth regression
Value, growth, economic fundamentals, business cycles, VAR
Asset pricing, Investment growth
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3058.
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Value stocks, growth stocks, regime switching, time-varying expected returns, real flexibility
default risk, Merton's (1974) model, abnormal equity returns, credit rating downgrades/upgrades, size, book-to-market
option returns, straddle, earnings announcement, transaction costs
Expectations Hypotheses, Uncovered Interest Rate Parity, Term Structure, Long Horizon Test
Equity Premium, Economic Uncertainty, Stochastic Risk Aversion, Time Variation in Risk and Return, Excess Volatility, External Habit, Term Structure, Heteroskedasticity
File name: SSRN-id954707.
Equity premium, uncertainty, stochastic risk aversion, time variation in risk and return, excess volatility, external habit, term structure
Stock-bond relationship, Lead-lag relationship, Firm-specific information, Market efficiency
investor sentiment index, return predictability, business cycle
municipal bonds, advance refunding, public finance
municipal bonds, public finance, muni default risk illiquidity, prerefunded munis, advance refunding, taxes
municipal bonds, income and capital gains tax, de minimis boundary, public finance
municipal bonds, income and capital gains tax, de minimis boundary, public finance, implicit tax rate
distress risk, bankruptcy, skewness, stock returns
risk-shifting, idiosyncratic volatility puzzle, profitability, agency conflict
Municipal debt, tax-exempt bonds, public finance, tax subsidy
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