Why is it so difficult to uncover the risk-return tradeoff in stock returns?

被引：23
|
作者：
Lanne, M
Saikkonen, P
机构：
[1] Univ Jyvaskyla, RUESG, Jyvaskyla, Finland
[2] Univ Jyvaskyla, HECER, Jyvaskyla, Finland
[3] Univ Helsinki, RUESG, Helsinki, Finland
[4] Univ Helsinki, HECER, Helsinki, Finland
来源：
ECONOMICS LETTERS | 2006年 / 92卷 / 01期
关键词：
asset pricing; GARCH-in-Mean; asymptotic power;
D O I：
10.1016/j.econlet.2006.01.029
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：118 / 125
页数：8
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