@book{361350,
	title = {An intertemporal CAPM with stochastic volatility / by John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley},
	publisher = {Elsevier},
	year = {May 2018},
	address = {Amsterdam},
	note = {Abstract
This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who is content to hold the aggregate equity market instead of overweighting value stocks and other equity portfolios that are attractive to short-term investors. We show that a conservative long-term investor will avoid such overweights to hedge against two types of deterioration in investment opportunities: declining expected stock returns and increasing volatility. We present novel evidence that low-frequency movements in equity volatility, tied to the default spread, are priced in the cross section of stock returns.}
}