کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10476063 | 929516 | 2005 | 40 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
There is a risk-return trade-off after all
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper studies the 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 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 intertemporal capital asset pricing model 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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 76, Issue 3, June 2005, Pages 509-548
Journal: Journal of Financial Economics - Volume 76, Issue 3, June 2005, Pages 509-548
نویسندگان
Eric Ghysels, Pedro Santa-Clara, Rossen Valkanov,