Forward-Looking Market Risk Premium
A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors’ risk aversion and forward looking volatility, skewness, and kurtosis of cumulative return. In addition, investors’ ris...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/50382 |