The Shape of the Risk Premium
研究CRSP价值加权指数总回报的风险溢价与其条件方差之间的关系，提出一种新的半参数模型，发现两者呈非线性且非单调的关系。
We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric and the conditional mean is an arbitrary function of the conditional variance. For monthly CRSP value-weighted excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic.