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The Intertemporal Risk-Return Relation in the Stock Market

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  • Xiaoquan Jiang
  • Bong Soo Lee

Abstract

We reexamine the intertemporal risk-return relation. We find a positive risk-return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we consider various sample periods and model specifications. Our finding of a positive relation is robust as long as we use firm fundamentals in measuring expected returns and conditional variances in a consistent manner. Copyright (c) 2009, The Eastern Finance Association.

Suggested Citation

  • Xiaoquan Jiang & Bong Soo Lee, 2009. "The Intertemporal Risk-Return Relation in the Stock Market," The Financial Review, Eastern Finance Association, vol. 44(4), pages 541-558, November.
  • Handle: RePEc:bla:finrev:v:44:y:2009:i:4:p:541-558
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    Cited by:

    1. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
    2. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
    3. Jiranyakul, Komain, 2011. "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper 45583, University Library of Munich, Germany.
    4. repec:eee:quaeco:v:65:y:2017:i:c:p:314-327 is not listed on IDEAS

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