There is a risk-return tradeoff after all
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Author
Contributions
- Santa-Clara, Pedro. - Contributor
- Valkanov, Rossen I. 1973- - Contributor
- National Bureau of Economic Research. - Contributor
Publication
2004 - National Bureau of Economic Research, Cambridge, Mass, Massachusetts
Language
English
Word Count
9,250 words, Guess
Page Count
37 pages
Identifiers
- OCLC Control Number57350254
- Open LibraryOL17625263M
Description
"This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns - the Mixed Data Sampling (or MIDAS) approach. Using MIDAS, we find that there is a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process, and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the ICAPM based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance"--National Bureau of Economic Research web site.
Subjects
Series Statement
- NBER working paper series -- no. 10913.
- Working paper series (National Bureau of Economic Research) -- working paper no. 10913.
Links
Other Editions
- There is a risk-return tradeoff after all
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