The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Stock Market Risk and Return: An Equilibrium Approach
Open accessAbstract
Empirical evidence that expected stock returns are weakly related to volatility at the market level appears to contradict the intuition that risk and return are positively related. We investigate this issue in a general equilibrium exchange economy characterized by a regime-switching consumption process with time-varying transition probabilities between regimes. When estimated using consumption data, the model generates a complex, non-linear and time-varying relation between expected returns and volatility, duplicating the salient features of the risk/return trade-off in the data. The results emphasize the importance of time-varying investment opportunities and highlight the perils of relying on intuition from static models.
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Citations
Cites
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Metadata
- Authors
- Whitelaw, R. F.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2000-07
- Volume
- 13
- Issue
- 3
- Pages
- 521-547
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W1967693106
- Cited by
- 323
- References
- 1
- FWCI
- 15.46
- Type
- journal article
- Language
- en
- Open access
- green
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- Whitelaw, R. F. (2000). Stock Market Risk and Return: An Equilibrium Approach. Review of Financial Studies. https://doi.org/10.1093/rfs/13.3.521
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
