There is a risk-return trade-off after all

• 成果类型: Article
• 署名作者: Ghysels, E; Santa-Clara, P; Valkanov, R
• 署名单位: University of California System; University of California Los Angeles; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.03.008
• 发表日期: 2005
• 页码: 509-548
• 关键词: risk-return trade-off; ICAPM; MIDAS; conditional variance

摘要

This paper studies the intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns, the mixed data sampling (or MIDAS) approach. Using MIDAS, we find a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the intertemporal capital asset pricing model based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance. (c) 2005 Elsevier B.V. All rights reserved.