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Time Varying Market Leverage, the Market Risk Premium and the Cost of Capital

✍ Scribed by Martin Lally

Book ID
108567999
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
100 KB
Volume
29
Category
Article
ISSN
0306-686X

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πŸ“œ SIMILAR VOLUMES

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## Abstract In this study, a three‐factor model of crude oil prices is estimated, which incorporates a time‐varying market price of risk. The model is able to accurately capture the term structure of futures prices with evidence suggesting that risk premiums in the crude oil market are time‐varying

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