Diverse beliefs and time variability of risk premia
نویسندگان
چکیده
منابع مشابه
Time-varying risk premia
Time-varying risk premia (TVRP) is one of the four sources of stock return autocorrelation. TVRP arises in a securities market equilibriumwhen the equilibrium expected returns of the available investments vary over time; in particular, the presence of TVRP does not indicate pricing inefficiency. This paper provides equilibrium upper bounds on TVRP, as a function of the return period, the time h...
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ژورنال
عنوان ژورنال: Economic Theory
سال: 2010
ISSN: 0938-2259,1432-0479
DOI: 10.1007/s00199-010-0550-1