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There is a risk-return trade-off after all

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Author Info
Ghysels, Eric
Santa-Clara, Pedro
Valkanov, Rossen
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File URL: http://www.sciencedirect.com/science/article/B6VBX-4FF8WRD-1/2/0539e5c62de09c204d491dd9cf413994
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Publisher Info
Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 76 (2005)
Issue (Month): 3 (June)
Pages: 509-548
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Handle: RePEc:eee:jfinec:v:76:y:2005:i:3:p:509-548

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  2. Christian Conrad & Enno Mammen, 2008. "Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models," Working Papers 0473, University of Heidelberg, Department of Economics, revised Jul 2008. [Downloadable!]
  3. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers 2003-028, Federal Reserve Bank of St. Louis. [Downloadable!]
    Other versions:
  4. Tim Bollerslev & Uta Kretschmer & Christian Pigorsch & George Tauchen, 2007. "A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects," CREATES Research Papers 2007-22, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
  5. Anisha Ghosh & Oliver Linton, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," Economics Working Papers we094928, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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