Abstract
This paper examines the intertemporal risk-return relation using a more sensible empirical specification that is motivated by two concerns: the theoretical risk-return relation is an ex ante relation and the empirical method used to detect the relation should be reliable. We measure both the expected excess return and conditional variance jointly using the common information set based on a bivariate moving average representation of excess returns and variances. As a result, we can detect a significant positive relation between the expected excess return and the conditional variance. We also find that the positive relation is robust.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
