search query: @indexterm volatility / total: 330
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| Author: | Lundblad, C. |
| Title: | The risk return tradeoff in the long run: 1836-2003 |
| Journal: | Journal of Financial Economics
2007 : JUL, VOL. 85:1, p. 123-150 |
| Index terms: | assets pricing equities markets volatility risk USA models |
| Language: | eng |
| Abstract: | A statistically (here as: stat-ly.) insignificant relation (as: rel.) between the market risk premium and its expected volatility is typically found in studies. In addition, several studies estimate a negative risk return tradeoff (here as: r-r-t.), contrary to the predictions of mainstream theory. Based on simulations, this study demonstrates that even 100 years of data constitute a small sample that may easily lead to this finding even though the true r-r-t. is positive. Using the nearly 200 years of history of U.S. equity market returns from Schwert (publ. in Journal of Business (1990), vol. 63, pp. 399-426), a positive and stat-ly. significant r-r-t. is estimated. Finally, exploratory analysis suggests a role for a time-varying rel. linked to the changing nature of the U.S. economy. |
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