Countercyclical and time-varying reward to risk and the equity premium

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dc.contributor.authorAntell Jan
dc.contributor.authorVaihekoski Mika
dc.contributor.organizationfi=laskentatoimen ja rahoituksen laitos|en=Department of Accounting and Finance|
dc.contributor.organization-code1.2.246.10.2458963.20.70648218033
dc.converis.publication-id179840453
dc.converis.urlhttps://research.utu.fi/converis/portal/Publication/179840453
dc.date.accessioned2025-08-27T21:58:27Z
dc.date.available2025-08-27T21:58:27Z
dc.description.abstract<p> We study whether the equity premium is related to volatility or variance, whether the reward to market risk is positive, and whether it behaves in a counter-cyclical fashion. Using APARCH models for the conditional market risk, we compare the traditional and the new testing approach of Antell and Vaihekoski (2019) on the monthly US equity premium from 1928 to 2018. The results from the new approach give stronger support for the pricing of volatility rather than variance and for positive reward to market risk. The support for timevarying and countercyclical reward to risk coefficient is smaller than previously thought. <br></p>
dc.identifier.eissn0275-5319
dc.identifier.jour-issn0275-5319
dc.identifier.olddbid201518
dc.identifier.oldhandle10024/184545
dc.identifier.urihttps://www.utupub.fi/handle/11111/48411
dc.identifier.urlhttps://doi.org/10.1016/j.ribaf.2023.102017
dc.identifier.urnURN:NBN:fi-fe2025082785408
dc.language.isoen
dc.okm.affiliatedauthorVaihekoski, Mika
dc.okm.discipline511 Economicsen_GB
dc.okm.discipline512 Business and managementen_GB
dc.okm.discipline511 Kansantaloustiedefi_FI
dc.okm.discipline512 Liiketaloustiedefi_FI
dc.okm.internationalcopublicationnot an international co-publication
dc.okm.internationalityInternational publication
dc.okm.typeA1 ScientificArticle
dc.publisherElsevier
dc.publisher.countryUnited Statesen_GB
dc.publisher.countryYhdysvallat (USA)fi_FI
dc.publisher.country-codeUS
dc.relation.articlenumber102017
dc.relation.doi10.1016/j.ribaf.2023.102017
dc.relation.ispartofjournalResearch in International Business and Finance
dc.relation.volume66
dc.source.identifierhttps://www.utupub.fi/handle/10024/184545
dc.titleCountercyclical and time-varying reward to risk and the equity premium
dc.year.issued2023

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