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Citations for "An Investigation Of The Risk And Return Relation At Long Horizons"

by Paul Harrison & Harold H. Zhang

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  1. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  2. Xing Jin & Leping Wang & Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers, Warwick Business School, Finance Group wpn06-19, Warwick Business School, Finance Group.
  3. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2003. "There is a Risk-Return Tradeoff After All," CIRANO Working Papers, CIRANO 2003s-26, CIRANO.
  4. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, MIT Press, vol. 89(4), pages 684-700, November.
  5. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 123-150.
  6. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, Elsevier, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887 Elsevier.
  7. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, Society for AEF, vol. 9(1), pages 39-75, May.
  8. Smith, Peter N & Sorensen, Steffen & Wickens, Michael R., 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7227, C.E.P.R. Discussion Papers.
  9. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 87(1), pages 101-131, January.
  10. Xing, Xuejing & Howe, John S., 2003. "The empirical relationship between risk and return: evidence from the UK stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 12(3), pages 329-346.
  11. Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
  12. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, Elsevier, vol. 29(3), pages 795-809.
  13. Łukasz Kwiatkowski, 2011. "Bayesian Analysis of a Regime Switching In-Mean Effect for the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 3(4), pages 187-219, December.
  14. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 349-374, April.
  15. Li, Junye, 2011. "Volatility components, leverage effects, and the return-volatility relations," Journal of Banking & Finance, Elsevier, Elsevier, vol. 35(6), pages 1530-1540, June.
  16. Kim, Sangbae & In, Francis, 2007. "On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 17(2), pages 167-179, April.
  17. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(1), pages 123-150, July.
  18. Ronald J. Balvers & Dayong Huang, 2005. "Productivity-Based Asset Pricing: Theory and Evidence," Working Papers, Department of Economics, West Virginia University 05-05 Classification- JEL, Department of Economics, West Virginia University.
  19. Krainer, Robert, 2009. "Portfolio and financing adjustments for U.S. banks: Some empirical evidence," Journal of Financial Stability, Elsevier, Elsevier, vol. 5(1), pages 1-24, January.
  20. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers, School of Economics and Management, University of Aarhus 2008-46, School of Economics and Management, University of Aarhus.
  21. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  22. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, Elsevier, vol. 21(C), pages 132-141.
  23. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, Springer, vol. 44(3), pages 1291-1314, June.
  24. Thomas D. Tallarini, Jr. & Harold H. Zhang, 2005. "External Habit and the Cyclicality of Expected Stock Returns," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 78(3), pages 1023-1048, May.
  25. Jensen, Mark J & Maheu, John M, 2013. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," MPRA Paper 52132, University Library of Munich, Germany.
  26. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, Elsevier, vol. 57(4), pages 377-390, May.
  27. Michael W. Brandt & Qiang Kang, 2002. "On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach," NBER Working Papers 9056, National Bureau of Economic Research, Inc.
  28. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 289-305, March.
  29. Kim, Sangbae & In, Francis, 2005. "The relationship between stock returns and inflation: new evidence from wavelet analysis," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(3), pages 435-444, June.
  30. Brandt, Michael W. & Kang, Qiang, 2004. "On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach," Journal of Financial Economics, Elsevier, Elsevier, vol. 72(2), pages 217-257, May.
  31. Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers, Federal Reserve Bank of St. Louis 2003-028, Federal Reserve Bank of St. Louis.
  32. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 5(1), pages 20-58, December.