Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?
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0165-1765
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Economics Letters, 2006, 92, 1, 118-125
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LANNE, Markku, SAIKKONEN, Pentti, Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?, Economics Letters, 2006, 92, 1, 118-125 - https://hdl.handle.net/1814/16534
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 with monthly U.S. data. (c) 2006 Elsevier B.V. All rights reserved.