We thank Hao Zhou for kindly providing data. We received valuable comments from seminar participants at the University of Lund, the Joint Finance Research Seminar in Helsinki, the CREATES seminar in Aarhus, and the Southern Finance Association Meetings in Florida. We also thank Bruno Gerard, Jesper Rangvid, and an anonymous referee for their comments. This article was partly written when the authors were visiting the Aarhus School of Business.
Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns
Article first published online: 11 OCT 2010
© 2010, The Eastern Finance Association
Volume 45, Issue 4, pages 1079–1100, November 2010
How to Cite
Nyberg, P. and Wilhelmsson, A. (2010), Volatility Risk Premium, Risk Aversion, and the Cross-Section of Stock Returns. Financial Review, 45: 1079–1100. doi: 10.1111/j.1540-6288.2010.00286.x
- Issue published online: 11 OCT 2010
- Article first published online: 11 OCT 2010
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