Expected Stock Returns and the Correlation Risk Premium


In general equilibrium settings with stochastic variance and correlation, the market-return is driven by shocks to consumption, market variance andĀ average correlation between stocks, and hence the equity risk premium is... [ view full abstract ]


  1. Lorenzo Schoenleber (Frankfurt School of Finance and Management)
  2. Adrian Buss (INSEAD)
  3. Grigory Vilkov (Frankfurt School of Finance and Management)

Topic Areas

Equilibrium Models , Options , Systemic Risk


PS » Poster Presentations (11:00 - Monday, 16th July)

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