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Does conditional market skewness resolve the puzzling market risk-return relationship?

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  • Guedhami, Omrane
  • Sy, Oumar
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    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 45 (2005)
    Issue (Month): 4-5 (September)
    Pages: 582-598

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    Handle: RePEc:eee:quaeco:v:45:y:2005:i:4-5:p:582-598

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    Web page: http://www.elsevier.com/locate/inca/620167

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    21. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July.
    22. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
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    24. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December.
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    37. Li, Yuming, 1998. "Time Variations in Risk Premia, Volatility, and Reward-to-Volatility," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 21(4), pages 431-46, Winter.
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    Cited by:
    1. Jiranyakul, Komain, 2011. "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper 45583, University Library of Munich, Germany.

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