Title of article :
Why is it so difficult to uncover the risk–return tradeoff in stock returns?
Author/Authors :
Markku Lanne، نويسنده , , Pentti Saikkonen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
8
From page :
118
To page :
125
Abstract :
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.
Keywords :
asset pricing , GARCH-in-Mean , Asymptotic power
Journal title :
Economics Letters
Serial Year :
2006
Journal title :
Economics Letters
Record number :
435981
Link To Document :
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