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An Empirical Examination of Ex-Ante Estimates of the Market Risk Premium

Fri, April 26, 6:00 to 8:00pm, Hyatt Fisherman's Wharf, TBA

Abstract

This research investigates a new method for estimating the price of risk in the market using information on both stocks and bonds. An empirical examination of the model indicates the risk premium estimates vary significantly over time and have an average one-to-one relationship with future market returns. There is strong evidence that the procedure yields estimates which can be useful in predicting future returns on stocks and bonds ex-ante.

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