haku: @author Santa-Clara, P. / yhteensä: 6
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| Tekijä: | Ghysels, E. Santa-Clara, P. Valkanov, R. |
| Otsikko: | There is a risk-return trade-off after all |
| Lehti: | Journal of Financial Economics
2005 : JUNE, VOL. 76:3, p. 509-548 |
| Asiasana: | Finance Return on investment Stock markets |
| Vapaa asiasana: | Risk and return |
| Kieli: | eng |
| Tiivistelmä: | 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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