Measuring the Risk-Return Tradeoff with Time-Varying Conditional Covariances
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https://www.nber.org/papers/w20245
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资源简介：
We examine the prediction of Merton's intertemporal CAPM that time varying risk premiums arise from the conditional covariances of returns on assets with the return on the market and other state variables. We find a positive and significant price of risk for the covariance with the market return
提供机构：
美国国家经济研究局
创建时间：
2014-06-01
