The intertemporal risk-return relation: A bivariate model approach

Xiaoquan Jiang and Bong-Soo Lee

Journal of Financial Markets, 2014, vol. 18, issue C, 158-181

Abstract: This paper examines the intertemporal risk-return relation using a more sensible empirical specification that is motivated by two concerns: the theoretical risk-return relation is an ex ante relation and the empirical method used to detect the relation should be reliable. We measure both the expected excess return and conditional variance jointly using the common information set based on a bivariate moving average representation of excess returns and variances. As a result, we can detect a significant positive relation between the expected excess return and the conditional variance. We also find that the positive relation is robust.

Keywords: Intertemporal risk-return relation; Bivariate moving average representation (search for similar items in EconPapers)
JEL-codes: C32 E32 G12 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1386418113000037
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:18:y:2014:i:c:p:158-181

DOI: 10.1016/j.finmar.2013.02.002

Access Statistics for this article

Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam

More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().