Market efficiency, asset returns, and the size of the risk premium in global equity markets.

DOI10.1016/S0304-4076(02)00067-2zbMath1043.62085MaRDI QIDQ1858952

Ravi Bansal, Christian Lundblad

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

correlationrisk premiacash flowsasset volatilityfundamental values

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

Risk–return relationship in equity markets: using a robust GMM estimator for GARCH-M models ⋮ Empirical assessment of an intertemporal option pricing model with latent variables.

Cites Work

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• Testing for Serial Correlation Against an ARMA(1, 1,) Process
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation
• Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning

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