An Investigation Of The Risk And Return Relation At Long Horizons

Paul Harrison and Harold Zhang

The Review of Economics and Statistics, 1999, vol. 81, issue 3, 399-408

Abstract: This paper examines the relation between expected stock returns and their conditional volatility over different holding periods and across different states of the economy. Seminonparametric density estimation and Monte Carlo integration are used to obtain the expected returns and conditional volatility at various holding intervals. We uncover a significantly positive risk and return relation at long holding intervals, such as one and two years, which is nonexistent at short holding periods such as one month. We also show that the existing finding in the literature of a negative risk and return relation may be attributable to misspecification. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (93)

Downloads: (external link)
http://www.mitpressjournals.org/doi/pdf/10.1162/003465399558337 (application/pdf)
Access to full text is restricted to subscribers.

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:tpr:restat:v:81:y:1999:i:3:p:399-408

Ordering information: This journal article can be ordered from
https://mitpressjour ... rnal/?issn=0034-6535

Access Statistics for this article

The Review of Economics and Statistics is currently edited by Pierre Azoulay, Olivier Coibion, Will Dobbie, Raymond Fisman, Benjamin R. Handel, Brian A. Jacob, Kareen Rozen, Xiaoxia Shi, Tavneet Suri and Yi Xu

More articles in The Review of Economics and Statistics from MIT Press
Bibliographic data for series maintained by The MIT Press ().