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dc.contributor.authorLANNE, Markku
dc.contributor.authorSAIKKONEN, Pentti
dc.date.accessioned2011-04-19T12:48:27Z
dc.date.available2011-04-19T12:48:27Z
dc.date.issued2006
dc.identifier.citationEconomics Letters, 2006, 92, 1, 118-125
dc.identifier.issn0165-1765
dc.identifier.urihttps://hdl.handle.net/1814/16534
dc.description.abstractThe 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.isoen
dc.publisherElsevieren
dc.subjectasset pricing
dc.subjectGARCH-in-Mean
dc.subjectasymptotic power
dc.titleWhy Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?
dc.typeArticle
dc.identifier.doi10.1016/j.econlet.2006.01.029
dc.identifier.volume92
dc.identifier.startpage118
dc.identifier.endpage125
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