کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097053 | 1376567 | 2008 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Long-run risk-return trade-offs
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Long-run risk-return trade-offs Long-run risk-return trade-offs](/preview/png/5097053.png)
چکیده انگلیسی
Excess market returns are correlated with past market variance. This dependence is statistically mild at short horizons (thereby leading to a hard-to-detect risk-return trade-off, as in the existing literature) but increases with the horizon and is strong in the long run (i.e., between 6 and 10 years). From an econometric standpoint, we find that the long-run predictive power of past market variance is robust to the statistical properties of long-horizon stock-return predictive regressions. From an economic standpoint, we show that, when conditioning on past market variance, conditional versions of the traditional CAPM and consumption-CAPM yield considerably smaller cross-sectional pricing errors than their unconditional counterparts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 143, Issue 2, April 2008, Pages 349-374
Journal: Journal of Econometrics - Volume 143, Issue 2, April 2008, Pages 349-374
نویسندگان
Federico M. Bandi, BenoıËt Perron,