Title of article
The intertemporalcapitalassetpricingmodelwithdynamic conditionalcorrelations
Author/Authors
Turan G. Bali، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2010
Pages
14
From page
377
To page
390
Abstract
The intertemporalcapitalassetpricingmodelof Merton(1973) is examinedusingthe
dynamicconditionalcorrelation(DCC)modelof Engle (2002). Themean-revertingDCC
modelisusedtoestimateastock’s(portfolio’s)conditionalcovariancewiththemarket
and testwhethertheconditionalcovariancepredictstime-variationinthestock’s
(portfolio’s)expectedreturn.Therisk-aversioncoefficient,restrictedtobethesame
acrossassetsinpanelregression,isestimatedtobebetweentwoandfourandhighly
significant.Theriskpremiuminducedbytheconditionalcovariationofassetswiththe
marketportfolioremainspositiveandsignificantaftercontrollingforriskpremia
inducedbyconditionalcovariationwithmacroeconomic,financial,andvolatility
factors.
Keywords
ICAPMDynamic conditionalcorrelationARCHRisk aversionRisk factors
Journal title
Journal of Monetary Economics
Serial Year
2010
Journal title
Journal of Monetary Economics
Record number
846398
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