Equity market volatility and expected risk premium
By: by Long Chen, Hui Guo, and Lu Zhang
Contributors: Guo, Hui; Zhang, Lu; Federal Reserve Bank of St. Louis
Series: Working paper -- 2006-007A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2006-007A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2006
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] /
Description: "This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio.  The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data.  This measure is forward-looking and does not rely critically on either realized equity returns or instrumental variables.  We find strong support for a positive risk-return tradeoff, and this result is not sensitive to a number of robustness checks, including alternative proxies of the conditional stock variance and controls for hedging demands"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 7/10/2006.

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