Browsing ECO Articles by Subject "asset pricing"

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Browsing ECO Articles by Subject "asset pricing"

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    Title: Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?  Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2006 Type of Publication: Article Abstract: The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated ...