01265nam a22001697a 4500 190322b xxu||||| |||| 00| 0 eng d 0304-405X An intertemporal CAPM with stochastic volatility / by John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley John Y. Campbell, Stefano Giglio, Christopher Polk, Robert Turley Amsterdam Elsevier May 2018 Pages 207-233 Journal of Financial Economics 128 (2) 0304-405X 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. Volatility risk Volatility risk Stock returns lcc SE 361350 361350 0 0 lcc 0 CL CL PER 2019-03-22 0 2019-03-22 00:00:00 2019-03-22 SE