Bhaskaran Swaminathan

Director of Research
LSV Asset Management
155 North Wacker Drive
Chicago, IL 60606
Tel: 312-327-5103

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: LSV Asset Management

NBER Working Papers and Publications

January 2006Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital
with Lubos Pastor, Meenakshi Sinha: w11941
We reexamine the time-series relation between the conditional mean and variance of stock market returns. To proxy for the conditional mean return, we use the implied cost of capital, computed using analyst forecasts. The usefulness of this proxy is shown in simulations. In empirical analysis, we construct the time series of the implied cost of capital for the G-7 countries. We find strong support for a positive intertemporal mean-variance relation at both the country level and the world market level. Some of our evidence is consistent with international integration of the G-7 financial markets.

Published: Pastor, Lubos, Meenakshi Sinha and Bhaskaran Swaminathan. “Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital.” Journal of Finance 63 (2008): 2859–2897. citation courtesy of

National Bureau of Economic Research
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