Article ID Journal Published Year Pages File Type
960865 Journal of Financial Markets 2014 24 Pages PDF
Abstract
► The theoretical risk-return relation is an ex-ante relation. ► The empirical method used to detect the relation should be reliable. ► Both expected excess return and conditional variance are based on the theoretical specification. ► We find a significant and robust positive risk-return relation.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The intertemporal risk-return relation: A bivariate model approach
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