منابع مشابه
Understanding Risk and Return
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متن کاملUnderstanding the Risk-Return Tradeoff in the Stock Market
We find that past stock market variance forecasts excess stock market returns and that its predictive ability is greatly enhanced if the consumption-wealth ratio is also included in the forecasting equation. While the risk-return tradeoff is found negative if we use the latter as the instrumental variable for the conditional moments, the former suggests a positive one. We argue that the consump...
متن کاملFirm Specific Risk and Return: Quantile Regression Application
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was i...
متن کاملThe relationship between Structural risk and Expected return of sukuk
Sukuk is the most important Islamic financial securities designed based on Islamic laws, and the relationship between risk and return is the most basic concept in Islamic finance. The results of examining and comparing the similarities between bonds and sukuk show that the most important difference between these two financing tools is the type of asset backed by sukuk and the type of asset cont...
متن کاملRisk, Return and Dividends∗
We characterize the joint dynamics of expected returns, stochastic volatility, and prices. In particular, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price-dividend ratio fully determines the other two. For example, the stock volatility determines the expected return and the price-dividend ratio. By parameterizing one, or more, of exp...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 1996
ISSN: 0022-3808,1537-534X
DOI: 10.1086/262026