全球智库信息集成服务系统(G2TT): There is a Risk-Return Tradeoff After All

G2TT

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.