Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two‐Factor Approach
用双因子模型（加入长期国债收益率）重新检验风险与回报的跨期关系，发现市场风险溢价与条件市场方差之间存在显著正相关，并解释了此前文献中三者关系的混乱。
The existing empirical literature fails to agree on the nature of the intertemporal relation between risk and return. This paper attempts to resolve the issue by estimating a conditional two‐factor model motivated by Merton's intertemporal capital asset pricing model. When long‐term government bond returns are included as a second factor, the partial relation between the market risk premium and conditional market variance is found to be positive and significant. The paper also helps explain the convoluted empirical relation between the market risk premium, conditional market variance, and the nominal risk‐free rate previously reported in the literature.