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Abstract: this paper does not depend on the market premium ever being reliably negative or not. The restriction that the market premium is always positive is an additional constraint that could be imposed (see Merton (1986)) (Update)
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BibTeX entry: (Update)
Polk, Christopher, 1998, The market as a hedge, Working paper, Northwestern University. http://citeseer.ist.psu.edu/polk99market.html More
@misc{ christopher98market,
author = "P. Christopher",
title = "The market as a hedge",
text = "Polk, Christopher, 1998, The market as a hedge, Working paper, Northwestern
University.",
year = "1998",
url = "citeseer.ist.psu.edu/polk99market.html" }
Citations (may not include all citations):512 Density Estimation for Statistics and Data Analysis (context) - Silverman - 1986
111 Large sample properties of generalized method of moments est.. (context) - Lars - 1982
87 Smooth regression analysis (context) - Watson - 1964
63 The equity premium puzzle (context) - Rajnish, Prescott - 1985
43 The Cross-Section of Expected Stock Returns (context) - Eugene, Kenneth et al.
42 Nonparametric estimators for time series (context) - Robinson - 1983
40 Common risk factors in the returns on stocks and bonds (context) - Eugene, Kenneth et al. - 1993
38 An intertemporal capital asset pricing model (context) - Robert - 1973
31 By force of habit: a consumption-based explanation of aggreg.. (context) - John, John et al. - 1999
30 Alternative models for conditional stock volatility (context) - Pagan, Schwert - 1990
27 Multifactor explanations of asset pricing anomalies (context) - Eugene, Kenneth et al. - 1996
27 Business conditions and expected returns on stocks and bonds (context) - Eugene, Kenneth et al. - 1989
26 An intertemporal asset pricing model with stochastic consump.. (context) - Douglas - 1979
25 A heteroscedasticity-consistent covariance matrix estimator .. (context) - Halbert - 1980
21 On Estimating the Expected Return on the Market: An Explorat.. (context) - Robert
[Article contains additional citations not shown here]
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