Why is it so difficult to uncover the risk-return tradeoff in stock returns?

DOI10.1016/j.econlet.2006.01.029zbMath1254.91603OpenAlexW2094036265WikidataQ61626729 ScholiaQ61626729MaRDI QIDQ1929385

Pentti Saikkonen, Markku Lanne

Publication date: 8 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2006.01.029

zbMATH Keywords

asset pricingasymptotic powerGARCH-in-mean

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Long-run risk-return trade-offs ⋮ Horizon effect in the term structure of long-run risk-return trade-offs ⋮ Estimation, Testing, and Finite Sample Properties of Quasi-Maximum Likelihood Estimators in GARCH-M Models ⋮ Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model ⋮ Pricing equity-bond covariance risk: between flight-to-quality and fear-of-missing-out

Cites Work

• An Intertemporal Capital Asset Pricing Model
• Unnamed Item

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