An anonymous referee provided many insightful and constructive comments that greatly improve the exposition of the paper. We thank Pok-sang Lam (the editor), Shaun Bond, Markus Brunnermeier, Mike Ferguson, Brian Hatch, Chris Jones, Qi Li, Sydney Ludvigson, Dennis Jansen, Bernt Ødegaard, Joon Park, Robert Savickas, Steve Slezak, Jun Tu, Kent Wang, Robert Whitelaw, Yan Yu, and seminar participants at Auburn University, Colorado State University, Texas A&M University, University of Colorado Denver, The University of Texas at Arlington, Xiamen University, Nankai University, the 2007 Financial Management Association annual meetings, and the 2008 Midwest Finance Association meetings for helpful suggestions and comments. Part of the work was completed when Hui Guo was a senior economist and Jian Yang was a visiting scholar at the Federal Reserve Bank of St. Louis. The paper formerly circulated under the title “Does Aggregate Relative Risk Aversion Change Countercyclically over Time? Evidence from the Stock Market.” The views expressed in this paper are those of the authors and do not necessarily reflect the official positions of the Federal Reserve Bank of St. Louis or the Federal Reserve System.
Time-Varying Risk–Return Trade-off in the Stock Market
Version of Record online: 17 MAY 2013
© 2013 The Ohio State University
Journal of Money, Credit and Banking
Volume 45, Issue 4, pages 623–650, June 2013
How to Cite
GUO, H., WANG, Z. and YANG, J. (2013), Time-Varying Risk–Return Trade-off in the Stock Market. Journal of Money, Credit and Banking, 45: 623–650. doi: 10.1111/jmcb.12018
- Issue online: 17 MAY 2013
- Version of Record online: 17 MAY 2013
- Manuscript Accepted: 22 MAY 2012
- Manuscript Received: 5 MAR 2009
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