مرکز منطقه ای اطلاع رساني علوم و فناوري - Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?

Title of article :

Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?

Author/Authors :

Chang-Jin Kim، نويسنده , , James C. Morley، نويسنده , , Charles R. Nelson، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2001

Pages :

From page :

403

To page :

426

Keywords :

Volatility feedback , Mean reversion , Markov switching , time-varying parameter

Journal title :

Journal of Empirical Finance

Serial Year :

2001

Journal title :

Journal of Empirical Finance

Record number :

130696

Link To Document :