The Intertemporal Risk‐Return Relation in the Stock Market

Xiaoquan Jiang and Bong Soo Lee

The Financial Review, 2009, vol. 44, issue 4, 541-558

Abstract: We reexamine the intertemporal risk‐return relation. We find a positive risk‐return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we consider various sample periods and model specifications. Our finding of a positive relation is robust as long as we use firm fundamentals in measuring expected returns and conditional variances in a consistent manner.

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:44:y:2009:i:4:p:541-558

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