On the Relation Between the Market Risk Premium and Market Volatility

Preprint

1 January 2002

preprint
Published by Elsevier in SSRN Electronic Journal

https://doi.org/10.2139/ssrn.301880

Abstract

Intuition derived from the static capital asset pricing theory(CAPM) suggests that the market risk premium should be positively related to the market systematic

Keywords

MARKET RISK PREMIUM
MARKET RISK-RETURN RELATION
VOLATILITY RISK PREMIUM
STOCHASTIC VOLATILITY
EMM

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