Journal article
Do jumps contribute to the dynamics of the equity premium?
Abstract
This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity premium. The results from our time-series approach reinforce the importance of the skewness premium found in cross-sectional studies using …
Authors
Maheu JM; McCurdy TH; Zhao X
Journal
Journal of Financial Economics, Vol. 110, No. 2, pp. 457–477
Publisher
Elsevier
Publication Date
November 2013
DOI
10.1016/j.jfineco.2013.07.006
ISSN
0304-405X