search query: @author Ghysels, E. / total: 6
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| Author: | Ghysels, E. Santa-Clara, P. Valkanov, R. |
| Title: | There is a risk-return trade-off after all |
| Journal: | Journal of Financial Economics
2005 : JUNE, VOL. 76:3, p. 509-548 |
| Index terms: | Finance Return on investment Stock markets |
| Freeterms: | Risk and return |
| Language: | eng |
| Abstract: | This article examines the relation between the conditional mean and the conditional variance of the aggregate stock market return. The writers introduce a new estimator that forecasts monthly variance with past daily squared returns. They find a significantly positive relation between risk and return in the stock market. |
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