[文献] Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multiv [推广有奖]

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马甲甲 发表于 2015-11-15 22:31:54 |AI写论文

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【全文链接或数据库名称(选填)】Time-Varying Market Price of Risk and Investor Sentiment: Evidence from a Multivariate GARCH ModelD W. Johnk, G Soydemir - Journal of Behavioral Finance, 2015 - Taylor & Francis
We test a conditional version of the CAPM in the US equity market using a parsimonious
generalized autoregressive conditional heteroskedasticity (GARCH) model in which the risk
premia, betas, and correlations vary through time. We introduce US investor sentiment ...
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