The Term Structure of Equity Risk Premia: Levered Noise and New Estimates

DOI10.1093/ROF/RFAC062zbMath1522.91289OpenAlexW4296782082MaRDI QIDQ6048021

Unnamed Author, Unnamed Author, Adlai J. Fisher, Unnamed Author

Publication date: 13 September 2023

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfac062

zbMATH Keywords

equity risk premiumdividend stripslimits to arbitragemicrostructure frictionsterm structure of equity risk premia

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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