Title:

What Does the Cross-Section Tell about Itself? Explaining Equity Risk Premia with Stock Return Moments

Authors:

Ian Cooper (U Haifa)
Liang Ma (U South Carolina)
Paulo Maio (Hanken School of Economics, Helsinki)

Journal:

Journal Of Money, Credit And Banking

Year:

2022

Volume:

54

Number:

1

Pages:

73-118

JEL codes:

C58 - Financial Econometrics
G11 - Portfolio Choice; Investment Decisions