Nothing Special   »   [go: up one dir, main page]
create a website
There is a Risk-Return Tradeoff After All. (2003). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
In: CIRANO Working Papers.
RePEc:cir:cirwor:2003s-26.

Full description at Econpapers || Download paper

Cited: 4

Citations received by this document

Cites: 46

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Risk, Return and Dividends. (2005). LIU, JUN ; Ang, Andrew.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt1s25177n.

    Full description at Econpapers || Download paper

  2. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns. (2004). Saikkonen, Pentti ; Lanne, Markku.
    In: Econometric Society 2004 North American Summer Meetings.
    RePEc:ecm:nasm04:469.

    Full description at Econpapers || Download paper

  3. Uncovering the Risk-Return Relation in the Stock Market. (2003). Guo, Hui.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9927.

    Full description at Econpapers || Download paper

  4. Does idiosyncratic risk matter: another look. (2003). Guo, Hui.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-025.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abel, Andrew B., 1988, Stock prices under time-varying dividend risk: An exact solution in an infinite-horizon general equilibrium model, Journal of Monetary Economics 22, 375 393.

  2. Alizadeh, Sassan, Michael W. Brandt, and Francis X. Diebold, 2002, Range-based estimation of stochastic volatility models, Journal of Finance 57, 10471091.

  3. An exploratory investigation, Journal of Financial Economics 8, 323361. Nelson, Daniel B., 1991, Conditional heteroskedasticity in asset returns: A new approach, Econometrica 59, 347370.

  4. Andersen, Torben G., Tim Bollerslev, Francis X. Diebold, and Heiko Ebens, 2001, The distribution of realized stock return volatility, Journal of Financial Economics 61, 4376.

  5. Andreou, Elena, and Eric Ghysels, 2002, Time variations and covariations in the expectation and volatility of stock market returns, Journal of Business and Economic Statistics 20, 363376.
    Paper not yet in RePEc: Add citation now

  6. Backus, David K., and Allan W. Gregory, 1993, Theoretical relations between risk premiums and conditional variance, Journal of Business and Economic Statistics 11, 177185.

  7. Barndorff-Nielsen, Ole E., and Neil Shephard, 2002, Econometric analysis of realised volatility and its use in estimating stochastic volatility models, Journal of the Royal Statistical Society, Series B 64, 253280.

  8. Bekaert, Geert, and Guojun Wu, 2000, Asymmetric volatility and risk in equity markets, Review of Financial Studies 13, 142.

  9. Black, Fischer, 1976, Studies in stock price volatility changes, in Proceedings of American Statistical Association, Business and Economic Statistics Section pp. 177181.
    Paper not yet in RePEc: Add citation now
  10. Brandt, Michael, and Qiang Kang, 2003, On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach, Journal of Financial Economics forthcoming.
    Paper not yet in RePEc: Add citation now

  11. Campbell, John Y., 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373399.

  12. Campbell, John Y., and Robert J. Shiller, 1988, Stock prices, earnings, and expected dividends, Journal of Finance 43, 661676.

  13. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, 1997, The Econometrics of Financial Markets (Princeton University Press: Princeton).
    Paper not yet in RePEc: Add citation now

  14. Chacko, George, and Luis Viceira, 2003, Spectral GMM estimation of continuous-time processes, Journal of Econometrics (forthcoming).

  15. Chan, K. C., G. Andrew Karolyi, and Ren´e M. Stulz, 1992, Global financial markets and the risk premium on U.S. equity, Journal of Financial Economics 32, 137167.

  16. Chen, Nai-Fu, Richard Roll, and Stephen A. Ross, 1986, Economic forces and the stock market, Journal of Business 59, 383403.

  17. Chernov, Mikhael, A. Ronald Gallant, Eric Ghysels, and George Tauchen, 2003, Alternative Models for Stock Price Dynamics, Journal of Econometrics (forthcoming).

  18. Chou, Ray, 1992, Volatility persistence and stock valuations: some empirical evidence using GARCH, Journal of Applied Econometrics 3, 279294.

  19. Christie, Andrew A., 1982, The stochastic behavior of common stock variances: Value, leverage and interest rate effects, Journal of Financial Economics 10, 407432.

  20. Engle, R.F., and G. Lee, 1999, A long-run and short-run component model of stock return volatility, in R. F. Engle, and H. White, ed.: Cointegration, Causality and Forecasting - A Festschrift in Honour of Clive W. J. Granger. Oxford University Press.

  21. Engle, Robert F., 1990, Discussion: Stock market volatility and the crash of 87, Review of Financial Studies 3, 103106.

  22. Fama, Eugene F., 1990, Stock returns, expected returns, and real activity, Journal of Finance 45, 10891108.

  23. Financial Economics 25, 2349. Ferson, Wayne E., and Campbell R. Harvey, 1991, The variation of economic risk premiums, Journal of Political Economy 99, 385415.

  24. French, Kenneth R., William Schwert, and Robert F. Stambaugh, 1987, Expected stock returns and volatility, Journal of Financial Economics 19, 329.

  25. Gallant, A. Ronald, C.-T. Hsu, and George Tauchen, 1999, Using daily range data to calibrate volatility diffusions and extract the forward integrated variance, Review of Economic Statistics 81, 617631.

  26. Gennotte, Gerard, and Terry A. Marsh, 1993, Variations in economic uncertainty and risk premiums on capital assets, European Economic Review 37, 10211041.

  27. Ghysels, Eric, Pedro Santa-Clara, and Rossen Valkanov, 2002, The MIDAS touch: Mixed data sampling regression models, Working paper, UCLA.

  28. Glosten, Lawrence R., Ravi Jagannathan, and David E. Runkle, 1993, On the relation between the expected value and the volatility of the nominal excess return on stocks, Journal of Finance 48, 17791801.

  29. Goyal, Amit, 2000, Predictability of stock return volatility from GARCH models, Working paper, UCLA.
    Paper not yet in RePEc: Add citation now

  30. Hall, Robert E., 1988, Intertemporal substitution in consumption, Journal of Political Economy 96, 339357.

  31. Harrison, Paul, and Harold Zhang, 1999, An investigation of the risk and return relation at long horizons, Review of Economics and Statistics 81, 399408.

  32. Harvey, Campbell R., 2001, The specification of conditional expectations, Journal of Empirical Finance 8, 573638.

  33. Keim, Donald B., and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357390.

  34. Lettau, Martin, and Sydney C. Ludvigson, 2002, Measuring and modeling variation in the risk-return tradeoff, in Yacine Ait-Sahalia, and Lars P. Hansen, ed.: Handbook of Financial Econometrics.
    Paper not yet in RePEc: Add citation now

  35. Merton, Robert C., 1973, An intertemporal capital asset pricing model, Econometrica 41, 867887.

  36. Officer, Robert R., 1973, The variability of the market factor of the New York Stock Exchange, Journal of Business 46, 43453.

  37. Pan, Jun, 2002, he Jump-Risk Premia Implicit in Options: Evidence from an Integrated Time-Series Study, Journal of Financial Economics 63, 350.

  38. Pindyck, Robert S., 1984, Risk, inflation, and the stock market, American Economic Review 74, 335351.

  39. Poterba, James M., and Lawrence H. Summers, 1986, The persistence of volatility and stock market fluctuations, American Economic Review 76, 11421151.

  40. Review 83, 487512. , and Ludger Hentschel, 1992, No news is good news: An asymmetric model of changing volatility in stock returns, Journal of Financial Economics 31, 281318.

  41. Santa-Clara, Pedro, and Shu Yan, 2001, Risk and return in the stock market: Lessons from option data, Working paper, University of Arizona.
    Paper not yet in RePEc: Add citation now

  42. Schwert, William G., 1989, Why does stock market volatility change over time?, Journal of Finance 44, 11151153.

  43. Scruggs, John T., 1998, Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: A two-factor approach, Journal of Finance 52, 575603.

  44. Taylor, Stephen J., and Xuxinzhong Xu, 1997, The incremental volatility information in one million foreign exchange quotations, Journal of Empirical Finance 4, 317340.

  45. Turner, Christopher M., Richard Startz, and Charles R. Nelson, 1989, A markov model of heteroskedasticity, risk, and learning in the stock market, Journal of Financial Economics 25, 322.

  46. Whitelaw, Robert F., 1994, Time variations and covariations in the expectation and volatility of stock market returns, Journal of Finance 49, 515541.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Market capitalization and growth with nominal and real rigidities: the case of emerging economies. (2020). Sarkar, Agnirup.
    In: Indian Economic Review.
    RePEc:spr:inecre:v:55:y:2020:i:2:d:10.1007_s41775-020-00096-0.

    Full description at Econpapers || Download paper

  2. Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2020). Linton, Oliver ; Hong, Seok Young .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:389-424.

    Full description at Econpapers || Download paper

  3. Buy-sell imbalance and the mean-variance relation. (2016). Jia, Yun ; Yang, Chunpeng.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:40:y:2016:i:pa:p:49-58.

    Full description at Econpapers || Download paper

  4. Risk-return trade-off for European stock markets. (2016). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:84-103.

    Full description at Econpapers || Download paper

  5. Risk-Return Trade-Off for European Stock Markets. (2015). Savva, Christos ; Christiansen, Charlotte ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:urv:wpaper:2072/246967.

    Full description at Econpapers || Download paper

  6. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro.
    In: Working Papers.
    RePEc:igi:igierp:565.

    Full description at Econpapers || Download paper

  7. Intertemporal risk–return relationships in bull and bear markets. (2015). Wu, Shue-Jen ; Lee, Wei-Ming .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:38:y:2015:i:c:p:308-325.

    Full description at Econpapers || Download paper

  8. Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface?. (2015). Guidolin, Massimo ; Bernales, Alejandro.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:26:y:2015:i:c:p:1-37.

    Full description at Econpapers || Download paper

  9. Modelling stock return volatility dynamics in selected African markets. (2015). Botha, Ferdi ; King, Daniel .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:45:y:2015:i:c:p:50-73.

    Full description at Econpapers || Download paper

  10. The microstructure of fear, the Fama–French factors and the global financial crisis of 2007 and 2008. (2014). Lim, Dominic ; Durand, Robert B. ; Yang, Joey Wenling .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:25:y:2014:i:3:p:169-180.

    Full description at Econpapers || Download paper

  11. SEMI PARAMETRIC ESTIMATION OF RISK-RETURN RELATIONSHIPS. (2013). Escanciano, Juan Carlos ; IngridVanKeilegomAuthor-X-Name-First: IngridAuthor, ; JuanCarlosPardo-FernandezAuthor-X-Name-First: Juan, ; Juan Carlos Escanciano Author-X-Name-First: Juan C, .
    In: Caepr Working Papers.
    RePEc:inu:caeprp:2013004.

    Full description at Econpapers || Download paper

  12. Markov switching models in asset pricing research. (2013). Guidolin, Massimo.
    In: Chapters.
    RePEc:elg:eechap:14545_1.

    Full description at Econpapers || Download paper

  13. Earnings dispersion and aggregate stock returns. (2012). Jorgensen, Bjorn ; Li, Jing ; Sadka, Gil.
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:53:y:2012:i:1:p:1-20.

    Full description at Econpapers || Download paper

  14. The Forward Discount Puzzle: Identi cation of Economic Assumptions. (2011). Velasco, Carlos ; Moon, Seongman.
    In: Working Papers.
    RePEc:sgo:wpaper:1112.

    Full description at Econpapers || Download paper

  15. The Relation between Expected Returns and Volatility in the Brazilian Stock Market. (2011). Ricardo, .
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:31:y:2011:i:1:a:3895.

    Full description at Econpapers || Download paper

  16. The intertemporal capital asset pricing model with dynamic conditional correlations. (2010). Engle, Robert ; Bali, Turan G..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:57:y:2010:i:4:p:377-390.

    Full description at Econpapers || Download paper

  17. Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals. (2010). Engstrom, Eric ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8150.

    Full description at Econpapers || Download paper

  18. The flight-to-quality effect: a copula-based analysis. (2010). Szimayer, Alex ; Durand, Robert B. ; Junker, Markus.
    In: Accounting and Finance.
    RePEc:bla:acctfi:v:50:y:2010:i:2:p:281-299.

    Full description at Econpapers || Download paper

  19. Asset Return Dynamics under Bad Environment Good Environment Fundamentals. (2009). Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15222.

    Full description at Econpapers || Download paper

  20. Risk, uncertainty, and asset prices. (2009). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:59-82.

    Full description at Econpapers || Download paper

  21. Multifrequency jump-diffusions: An equilibrium approach. (2008). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:44:y:2008:i:2:p:207-226.

    Full description at Econpapers || Download paper

  22. STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE. (2008). Lee, Bong-Soo ; Kim, Sei-Wan.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:46:y:2008:i:2:p:131-148.

    Full description at Econpapers || Download paper

  23. Multifrequency news and stock returns. (2007). Fisher, Adlai ; Calvet, Laurent.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:86:y:2007:i:1:p:178-212.

    Full description at Econpapers || Download paper

  24. The risk return tradeoff in the long run: 1836-2003. (2007). Lundblad, Christian.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:85:y:2007:i:1:p:123-150.

    Full description at Econpapers || Download paper

  25. Properties of equilibrium asset prices under alternative learning schemes. (2007). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:1:p:161-217.

    Full description at Econpapers || Download paper

  26. Procyclicality of Financial and Real Sector in Transition Economies. (2006). .
    In: Prague Economic Papers.
    RePEc:prg:jnlpep:v:2006:y:2006:i:4:id:291:p:315-349.

    Full description at Econpapers || Download paper

  27. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12248.

    Full description at Econpapers || Download paper

  28. Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital. (2006). Pastor, Lubos ; Swaminathan, Bhaskaran ; Sinha, Meenakshi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11941.

    Full description at Econpapers || Download paper

  29. Investor risk premia and real macroeconomic fluctuations. (2006). Fuerst, Michael E..
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:28:y:2006:i:3:p:540-563.

    Full description at Econpapers || Download paper

  30. Risk, Uncertainty and Asset Prices. (2006). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5947.

    Full description at Econpapers || Download paper

  31. Multifrequency News and Stock Returns. (2005). Fisher, Adlai ; Calvet, Laurent.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11441.

    Full description at Econpapers || Download paper

  32. Properties of equilibrium asset prices under alternative learning schemes. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-009.

    Full description at Econpapers || Download paper

  33. Turnover and return in global stock markets. (2005). Dey, Malay K..
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:6:y:2005:i:1:p:45-67.

    Full description at Econpapers || Download paper

  34. General Properties of Rational Stock-Market Fluctuations. (2004). Mele, Antonio.
    In: Economics Series.
    RePEc:ihs:ihsesp:153.

    Full description at Econpapers || Download paper

  35. Macroeconomic Factors and the Correlation of Stock and Bond Returns. (2003). Li, Lingfeng.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm328.

    Full description at Econpapers || Download paper

  36. Option prices under Bayesian learning: implied volatility dynamics and predictive densities. (2003). Timmermann, Allan ; Guidolin, Massimo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:27:y:2003:i:5:p:717-769.

    Full description at Econpapers || Download paper

  37. Stock market volatility, excess returns, and the role of investor sentiment. (2002). Jiang, Christine X. ; Lee, Wayne Y. ; Indro, Daniel C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:12:p:2277-2299.

    Full description at Econpapers || Download paper

  38. Volatility and stock prices: implications from a production model of asset pricing. (2001). Basu, Parantap ; Samanta, Prodyot .
    In: Economics Letters.
    RePEc:eee:ecolet:v:70:y:2001:i:2:p:229-235.

    Full description at Econpapers || Download paper

  39. The microstructure of the Chinese stock market. (2000). Xu, Cheng Kenneth.
    In: China Economic Review.
    RePEc:eee:chieco:v:11:y:2000:i:1:p:79-97.

    Full description at Econpapers || Download paper

  40. Expected stock returns and volatility in a production economy: a theory and some evidence. (1999). Singal, Padamja ; Smith, Stephen D..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:99-8.

    Full description at Econpapers || Download paper

  41. Asset Prices with Contingent Preferences. (1998). St-Amour, Pascal ; Gordon, Stephen.
    In: Cahiers de recherche.
    RePEc:lvl:laeccr:9712.

    Full description at Econpapers || Download paper

  42. Real Interest Regimes and Real Estate Performance: A Comparison of UK and US Markets. (1998). Worzala, Elaine ; Lizieri, Colin ; Satchell, Steven ; Dacco, Roberto.
    In: Journal of Real Estate Research.
    RePEc:jre:issued:v:16:n:3:1998:p:339-356.

    Full description at Econpapers || Download paper

  43. A nonparametric investigation of the 90?day t?bill rate. (1997). Baum, Christopher ; Onochie, Joseph ; Barkoulas, John T.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:6:y:1997:i:2:p:187-198.

    Full description at Econpapers || Download paper

  44. A nonparametric investigation of the 90-day t-bill rate. (1997). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:6:y:1997:i:2:p:187-198.

    Full description at Econpapers || Download paper

  45. Macroeconomic uncertainty and the risk premium in the foreign exchange market1. (1997). Hu, Xiaoqiang.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:16:y:1997:i:5:p:699-718.

    Full description at Econpapers || Download paper

  46. Equity market return volatility: Dynamics and transmission among the G-7 countries. (1996). Francis, Bill ; Leachman, Lori L..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:7:y:1996:i:1:p:27-52.

    Full description at Econpapers || Download paper

  47. The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective. (1994). Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4818.

    Full description at Econpapers || Download paper

  48. Equilibrium Asset Pricing Models and Predictability of Excess Returns. (1993). Potter, Simon ; Pesaran, M.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:694.

    Full description at Econpapers || Download paper

  49. An empirical assessment of non-linearities in models of exchange rate determination. (1989). Rose, Andrew ; Meese, Richard.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:367.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-27 22:24:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.