The Intertemporal Risk-Return Relation in the Stock Market

被引：6
|
作者：
Jiang, Xiaoquan [1 ]
Lee, Bong Soo [2 ]
机构：
[1] Florida Int Univ, Miami, FL 33199 USA
[2] Florida State Univ, Tallahassee, FL 32306 USA
来源：
FINANCIAL REVIEW | 2009年 / 44卷 / 04期
关键词：
intertemporal risk-return relation; ICAPM; GMM; fundamental proxy;
D O I：
10.1111/j.1540-6288.2009.00229.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We reexamine the intertemporal risk-return relation. We find a positive risk-return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we consider various sample periods and model specifications. Our finding of a positive relation is robust as long as we use firm fundamentals in measuring expected returns and conditional variances in a consistent manner.
引用
收藏
页码：541 / 558
页数：18
相关论文
共 50 条
  • [1] Uncovering the risk-return relation in the stock market
    Guo, Hui
    Whitelaw, Robert F.
    [J]. JOURNAL OF FINANCE, 2006, 61 (03): : 1433 - 1463
  • [2] Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model
    Guo, Hui
    Neely, Christopher J.
    [J]. ECONOMICS LETTERS, 2008, 99 (02) : 371 - 374
  • [3] The intertemporal risk-return relation: A bivariate model approach
    Jiang, Xiaoquan
    Lee, Bong-Soo
    [J]. JOURNAL OF FINANCIAL MARKETS, 2014, 18 : 158 - 181
  • [4] The Risk-Return Relation in International Stock Markets
    Guo, Hui
    [J]. FINANCIAL REVIEW, 2006, 41 (04) : 565 - 587
  • [5] The impact of oil price shocks on the risk-return relation in the Chinese stock market
    Wen, Fenghua
    Zhang, Minzhi
    Xiao, Jihong
    Yue, Wei
    [J]. FINANCE RESEARCH LETTERS, 2022, 47
  • [6] The risk-return relation in the corporate loan market
    Duran, Miguel A.
    [J]. NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2022, 60
  • [7] Robustness of the risk-return relationship in the US stock market
    Lanne, Markku
    Luoto, Jani
    [J]. FINANCE RESEARCH LETTERS, 2008, 5 (02) : 118 - 127
  • [8] Quantile Regression for Risk-Return Relations in Shanghai Stock Market
    Liu, Weixia
    Lin, Yong
    Zhang Jianmin
    [J]. THIRD INTERNATIONAL CONFERENCE ON MODELING, SIMULATION AND OPTIMIZATION (CMSO 2010), 2010, : 42 - 45
  • [9] Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect
    Liu, Hao
    Shen, Shihan
    Wang, Tianyi
    Huang, Zhuo
    [J]. CHINA ECONOMIC JOURNAL, 2016, 9 (02) : 140 - 153
  • [10] Football and the Risk-Return Relationship for a Stock Market: Borsa Istanbul
    Berument, M. Hakan
    Ceylan, Nildag Basak
    Onar, Bahar
    [J]. EMERGING MARKETS FINANCE AND TRADE, 2013, 49 (02) : 19 - 30
12345