• 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