کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069902 1373215 2008 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Robustness of the risk-return relationship in the U.S. stock market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Robustness of the risk-return relationship in the U.S. stock market
چکیده انگلیسی
Using GARCH-in-Mean models, we study the robustness of the risk-return relationship in monthly U.S. stock market returns (1928:1-2004:12) with respect to the specification of the conditional mean equation. The issue is important because in this commonly used framework, unnecessarily including an intercept is known to distort conclusions. The existence of the relationship is relatively robust, but its strength depends on the prior belief concerning the intercept. The latter applies in particular to the first half of the sample, where also the coefficient of the relative risk aversion is smaller and the equity premium greater than in the latter half.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 5, Issue 2, June 2008, Pages 118-127
نویسندگان
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