6533b82efe1ef96bd1292759
RESEARCH PRODUCT
Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?
Markku LannePentti Saikkonensubject
Economics and Econometrics050208 financeFinancial economicsfungi05 social sciencesasset pricingWald testasymptotic powerAsymptotic powerGARCH-in-Mean0502 economics and businessEconomicsCapital asset pricing model050207 economicsFinanceStock (geology)Risk returndescription
The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated with monthly U.S. data. (c) 2006 Elsevier B.V. All rights reserved.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2006-07-01 |