Joshua Rosenberg and Tobias Adrian are with the Capital Markets Function of the Research and Statistics Group at the Federal Reserve Bank of New York. We would like to thank Robert Stambaugh (the editor), two anonymous referees, John Campbell, Frank Diebold, Robert Engle, Arturo Estrella, Eric Ghysels, Til Schuermann, Kevin Sheppard, Jiang Wang, and Zhenyu Wang for comments. We also thank seminar participants and discussants at the Federal Reserve Bank of New York, the Adam Smith Asset Pricing conference at London Business School, the University of Massachusetts Amherst, the University of Zurich, the Financial Market Risk Premium conference at the Federal Reserve Board, the World Congress of the Econometric Society, the European Finance Association Meeting, the Financial Management Association, Queens University, Harvard Business School, Princeton University, Oak Hill Platinum Partners, and Barclays Global Investors for helpful comments. Alexis Iwanisziw and Ellyn Boukus provided outstanding research assistance. The views expressed in this paper are those of the authors and do not necessarily represent those of the Federal Reserve Bank of New York or the Federal Reserve System.
Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk
Version of Record online: 11 NOV 2008
© 2008 the American Finance Association
The Journal of Finance
Volume 63, Issue 6, pages 2997–3030, December 2008
How to Cite
ADRIAN, T. and ROSENBERG, J. (2008), Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk. The Journal of Finance, 63: 2997–3030. doi: 10.1111/j.1540-6261.2008.01419.x
- Issue online: 11 NOV 2008
- Version of Record online: 11 NOV 2008
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