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

DOI10.1016/J.ECONLET.2006.01.029MaRDI QIDQ1929385zbMATH OpenOpenAlexWikidataFDO

Authors Markku Lanne, Pentti Saikkonen

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)

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Cites work

• An Intertemporal Capital Asset Pricing Model
• scientific article; zbMATH DE number 3271181 (Why is no real title available?)

Cited in

(6)

• Horizon effect in the term structure of long-run risk-return trade-offs
• 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
• Long-run risk-return trade-offs
• Estimation, testing, and finite sample properties of quasi-maximum likelihood estimators in GARCH-M models
• Dangers of data mining: The case of calendar effects in stock returns

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