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The Relationship between Risk and Expected Return in Europe

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  • Nave, Juan
  • Rubio Irigoyen, Gonzalo
  • León, Angel
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    File URL: https://addi.ehu.es/bitstream/10810/6728/1/wp2005-08.pdf
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    Bibliographic Info

    Paper provided by University of the Basque Country - Department of Foundations of Economic Analysis II in its series DFAEII Working Papers with number 2005-08.

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    Date of creation: Jan 2005
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    Handle: RePEc:ehu:dfaeii:200508

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    Postal: Dpto. de Fundamentos del Análisis Económico II, = Facultad de CC. Económicas y Empresariales, Universidad del País Vasco, Avda. Lehendakari Aguirre 83, 48015 Bilbao, Spain
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    Keywords: hedging component; MIDAS; risk-return trade-off; conditional variance;

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    References

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    1. Sydney Ludvigson & Martin Lettau, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports, Federal Reserve Bank of New York 77, Federal Reserve Bank of New York.
    2. Hentschel, Ludger & Campbell, John, 1992. "No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns," Scholarly Articles 3220232, Harvard University Department of Economics.
    3. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1779-1801, December.
    4. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers, CIRANO 2004s-24, CIRANO.
    5. Santa-Clara, Pedro & Yan, Shu, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt5dv8v999, Anderson Graduate School of Management, UCLA.
    6. Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 26(1), pages 53-90.
    7. French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, Elsevier, vol. 19(1), pages 3-29, September.
    8. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk-Return Relation in the Stock Market," Journal of Finance, American Finance Association, American Finance Association, vol. 61(3), pages 1433-1463, 06.
    9. Harvey, Campbell R., 2001. "The specification of conditional expectations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 573-637, December.
    10. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, Econometric Society, vol. 41(5), pages 867-87, September.
    11. Campbell, John Y., 1987. "Stock returns and the term structure," Journal of Financial Economics, Elsevier, Elsevier, vol. 18(2), pages 373-399, June.
    12. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 59-95.
    13. Hui Guo, 2006. "On the risk-return relation in international stock markets," Working Papers, Federal Reserve Bank of St. Louis 2003-012, Federal Reserve Bank of St. Louis.
    14. Scruggs, John T. & Glabadanidis, Paskalis, 2003. "Risk Premia and the Dynamic Covariance between Stock and Bond Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 38(02), pages 295-316, June.
    15. John T. Scruggs, 1998. "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach," Journal of Finance, American Finance Association, American Finance Association, vol. 53(2), pages 575-603, 04.
    16. Michael J. Brennan & Ashley W. Wang & Yihong Xia, 2004. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," Journal of Finance, American Finance Association, American Finance Association, vol. 59(4), pages 1743-1776, 08.
    17. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
    18. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers, CIRANO 2004s-20, CIRANO.
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    Cited by:
    1. Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Banco de Espa�a Working Papers, Banco de Espa�a 0630, Banco de Espa�a.

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