Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Short-run Risk, Business Cycle, and the Value Premium |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 3519985 |
| ISSN | 1556-5068 |
| Date | 2020 |
| Abstract Text | We jointly explain the variations of the equity and value premium in a model with both short-run (SRR) and long-run (LRR) consumption risk. In our preliminary empirical analysis, we find that SRR varies with the business cycle and it has a substantial predictive power for market excess returns and the value premium|both in-sample and out-of-sample. The LRR component also differs significantly from zero, and value stocks have a larger exposure to both LRR and SRR than growth stocks. To explain these patterns in asset returns, we propose an extended and analytically tractable LRR model. |
| Free access at | Official URL |
| Official URL | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3519985 |
| Other Identification Number | merlin-id:19377 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|