| dc.contributor.author | LANNE, Markku | |
| dc.contributor.author | SAIKKONEN, Pentti | |
| dc.date.accessioned | 2011-04-19T12:48:27Z | |
| dc.date.available | 2011-04-19T12:48:27Z | |
| dc.date.issued | 2006 | |
| dc.identifier.citation | Economics Letters, 2006, 92, 1, 118-125 | |
| dc.identifier.issn | 0165-1765 | |
| dc.identifier.uri | https://hdl.handle.net/1814/16534 | |
| dc.description.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. | |
| dc.language.iso | en | |
| dc.publisher | Elsevier Science Sa | |
| dc.subject | asset pricing | |
| dc.subject | GARCH-in-Mean | |
| dc.subject | asymptotic power | |
| dc.title | Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns? | |
| dc.type | Article | |
| dc.identifier.doi | 10.1016/j.econlet.2006.01.029 | |
| dc.neeo.contributor | LANNE|Markku|aut| | |
| dc.neeo.contributor | SAIKKONEN|Pentti|aut| | |
| dc.identifier.volume | 92 | |
| dc.identifier.startpage | 118 | |
| dc.identifier.endpage | 125 | |
| eui.subscribe.skip | true | |
| dc.identifier.issue | 1 | |