Gateway to Think Tanks
来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w10913 |
来源ID | Working Paper 10913 |
There is a Risk-Return Tradeoff After All | |
Eric Ghysels; Pedro Santa-Clara; Rossen Valkanov | |
发表日期 | 2004-11-22 |
出版年 | 2004 |
语种 | 英语 |
摘要 | This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns -- the Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process, and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the ICAPM based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance. |
主题 | Financial Economics ; Financial Markets |
URL | https://www.nber.org/papers/w10913 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568548 |
推荐引用方式 GB/T 7714 | Eric Ghysels,Pedro Santa-Clara,Rossen Valkanov. There is a Risk-Return Tradeoff After All. 2004. |
条目包含的文件 | ||||||
文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w10913.pdf(541KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。