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来源类型Working Paper
规范类型报告
DOI10.3386/w10913
来源IDWorking 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
URLhttps://www.nber.org/papers/w10913
来源智库National Bureau of Economic Research (United States)
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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.
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