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.
Originalspråk | Engelska |
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Referentgranskad vetenskaplig tidskrift | Journal of Financial Markets |
Volym | 20 |
Sidor (från-till) | 1-19 |
Antal sidor | 19 |
ISSN | 1386-4181 |
DOI | |
Status | Publicerad - 09.05.2014 |
MoE-publikationstyp | A1 Originalartikel i en vetenskaplig tidskrift |
Nyckelord
- 511 Nationalekonomi
- 512 Företagsekonomi