Time-Varying Risk–Return Trade-off in the Stock Market

Material TypeArticleLanguageEnglish
TitleTime-Varying Risk–Return Trade-off in the Stock Market Author(S)HUI GUO (Author)
Abstract  We uncover a strong comovement of the stock market risk–return trade-off with the consumption–wealth ratio (CAY). The finding reflects time-varying investment opportunities rather than countercyclical aggregate relative risk aversion. ...Paginationp 623-650
SubjectEconomicsDescriptorsEconomics Stock exchanges
Journal TitleJournal of Money, Credit, and Banking  
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