This paper documents predictable time-variation in stock market Sharpe ratios.
Predetermined financial variables are used to estimate both the conditional mean and …

This paper investigates the relation between the conditional expected equity risk premium
and the slope of the term structure of interest rates. Theoretically, these variables are linked …

Studies have shown that small stock returns can be partially predicted by the past returns of
large stocks (cross‐correlations), while a larger body of literature has shown that …

In order to minimize short-term financing costs, corporations issue commercial paper instead
of seeking bank loans. We examine the changes in the daily rates of commercial paper over …

Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …

It is well established in the literature the ex post risk premium is higher than the ex ante risk
premium and can vary substantially, but little research has been conducted in modelling the …

While a significant amount of research has been undertaken on the risk premium existing in
stock markets, very few studies have evaluated the risk premium in property markets. This …

There has been considerable interest in recent times in studying the nature of the random
process generating the long term risk premium. Papers by Copeland (1982), Fama and …

Winters [Winters, DB (October 2002) Commercial paper: A colossal market. The Federal
Reserve Bank of St. Louis-National Economic Trends, Cover Page], shows that the amount …

This study investigates how commercial paper rates respond to the innovations in stock
market risk premiums. The unrestricted vector autoregression (VAR) analysis of monthly …