Risk and return: Long-run relations, fractional cointegration, and return predictability
نویسندگان
چکیده
منابع مشابه
Tail Risk Premia and Return Predictability∗
The variance risk premium, defined as the difference between the actual and riskneutral expectations of the forward aggregate market variation, helps predict future market returns. Relying on new essentially model-free estimation procedure, we show that much of this predictability may be attributed to time variation in the part of the variance risk premium associated with the special compensati...
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Previous studies typically find a statistically insignificant relationship between the market risk premium and its expected volatility. Further, several of these studies estimate a negative risk return tradeoff contrary to the predictions of mainstream theory. Using simulations, I demonstrate that even 100 years of data constitute a small sample that may easily lead to this finding even though ...
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Lundblad(2007,JFE) shows that the risk-return tradeoff is unequivocally positive with a two-century history of equity market data. A further examination of the relation with the UK monthly stock returns from 1836 to 2010 produces rather weak risk-return relation. I show that the risk-return relation is mostly positive but varies considerably over time based on a new nonlinear ICAPM with multiva...
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Investors’ search for successful forecasting models leads the data generating process for financial returns to change over time which means that individual return forecasting models can at best hope to uncover evidence of ‘local’ predictability. We illustrate this point on a suite of forecasting models used to predict US stock returns and propose an adaptive forecast combination approach. Most ...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2013
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2013.01.002