Skip to main content

A note on the relation between the equity risk premium and the term structure

Kanas, Angelos (2009) A note on the relation between the equity risk premium and the term structure. Journal of Economics and Finance, 34 (1). pp. 89-95. ISSN 1055-0925. (doi:10.1007/s12197-008-9069-8) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41140)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
http://dx.doi.org/10.1007/s12197-008-9069-8

Abstract

We show that nonlinearity in the relation between the equity premium and the slope of the term structure has two dimensions, namely asymmetry between positively and negatively sloped term structures, and regime switching. Asymmetry is uncovered only if volatility regime switching is allowed in equity premium dynamics. Predictive power for the equity premium arises only from the positively sloped term structure, and only in periods of low volatility of the equity premium. © Springer Science + Business Media, LLC 2008.

Item Type: Article
DOI/Identification number: 10.1007/s12197-008-9069-8
Additional information: Unmapped bibliographic data: AD - Department of Economics, University of Crete, 74100 Rethymnon, Crete, Greece [Field not mapped to EPrints] AD - IACM-FORTH, Crete, Greece [Field not mapped to EPrints] JA - J. Econ. Financ. [Field not mapped to EPrints]
Uncontrolled keywords: Equity risk premium, Nonlinearity, Predictability, Stochastic regimes, Term structure
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 22 May 2014 12:23 UTC
Last Modified: 16 Nov 2021 10:16 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41140 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

Creator's ORCID:
CReDIT Contributor Roles:
  • Depositors only (login required):

Total unique views for this document in KAR since July 2020. For more details click on the image.