Risk-return trade-off and serial correlation: Do volume and volatility matter?

Jyri Kinnunen

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

16 Citeringar (Scopus)

Sammanfattning

I investigate a relation between the conditional mean and variance of the aggregate stock return using a model that allows the relevance of the risk-return trade-off and autocorrelation to change over time. The model detects a positive risk-return relation, but the importance of the risk-return relation fluctuates with the level of information flow, measured by volatility. During low-volatility periods, market-wide persistence in returns increases, leading to a failure of the pure risk-return explanation for expected returns. This offers an explanation as to why detection of a positive risk-return trade-off has been challenging, while autocorrelation has been a robust finding.
OriginalspråkEngelska
Referentgranskad vetenskaplig tidskriftJournal of Financial Markets
Volym20
Sidor (från-till)1-19
Antal sidor19
ISSN1386-4181
DOI
StatusPublicerad - 09.05.2014
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 511 Nationalekonomi
  • 512 Företagsekonomi

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