Why is it so difficult to uncover the risk-return tradeoff in stock returns?

被引：23
|
作者：
Lanne, M
Saikkonen, P
机构：
[1] Univ Jyvaskyla, RUESG, Jyvaskyla, Finland
[2] Univ Jyvaskyla, HECER, Jyvaskyla, Finland
[3] Univ Helsinki, RUESG, Helsinki, Finland
[4] Univ Helsinki, HECER, Helsinki, Finland
来源：
ECONOMICS LETTERS | 2006年 / 92卷 / 01期
关键词：
asset pricing; GARCH-in-Mean; asymptotic power;
D O I：
10.1016/j.econlet.2006.01.029
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated with monthly U.S. data. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：118 / 125
页数：8
相关论文
共 50 条
  • [41] Football and the Risk-Return Relationship for a Stock Market: Borsa Istanbul
    Berument, M. Hakan
    Ceylan, Nildag Basak
    Onar, Bahar
    EMERGING MARKETS FINANCE AND TRADE, 2013, 49 (02) : 19 - 30
  • [42] Risk-return trade-off for European stock markets
    Aslanidis, Nektarios
    Christiansen, Charlotte
    Savva, Christos S.
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2016, 46 : 84 - 103
  • [43] Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
    Hong, Seok Young
    Linton, Oliver
    JOURNAL OF ECONOMETRICS, 2020, 219 (02) : 389 - 424
  • [44] Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies
    Liu, Jingzhen
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2019, 48 : 243 - 257
  • [45] The risk-return relations: evidence from the Korean and Taiwan stock markets
    Tang, Gordon Y. N.
    Shum, Wai Cheong
    APPLIED ECONOMICS, 2007, 39 (13-15) : 1905 - 1919
  • [46] Is there a Positive Risk-Return Tradeoff? A Forward-Looking Approach to Measuring the Equity Premium
    Koutmos, Dimitrios
    EUROPEAN FINANCIAL MANAGEMENT, 2015, 21 (05) : 974 - 1013
  • [47] RE-EXAMINATION OF THE EX POST RISK-RETURN TRADEOFF ON COMMON-STOCKS
    MCENALLY, RW
    UPTON, DE
    JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1979, 14 (02) : 395 - 419
  • [48] Investor sentiment and the Chinese new energy stock market: A risk-return perspective
    Shen, Yiran
    Liu, Chang
    Sun, Xiaolei
    Guo, Kun
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2023, 84 : 395 - 408
  • [49] Risk-Return Trade-off and Volatility Characteristics in the Indian Stock Market
    Tamilselvan, Manickam
    Palamalai, Srinivasan
    Kumar, Magesh
    Aswathaman, Jayakumar
    Veerabhadrappa, Manjula
    TEM JOURNAL-TECHNOLOGY EDUCATION MANAGEMENT INFORMATICS, 2022, 11 (01): : 307 - 315
  • [50] An Empirical Study on Risk-return Trade-off in China Stock Market
    Bian Shibo
    ADVANCES IN MANAGEMENT OF TECHNOLOGY, PT 2, 2009, : 234 - 238
12345