The intertemporal relation between expected returns and risk
- 4 September 2007
- journal article
- Published by Elsevier in Journal of Financial Economics
- Vol. 87 (1) , 101-131
- https://doi.org/10.1016/j.jfineco.2007.03.002
Abstract
No abstract availableKeywords
All Related Versions
This publication has 63 references indexed in Scilit:
- Is there a risk–return trade‐off? Evidence from high‐frequency dataJournal of Applied Econometrics, 2006
- The Value Premium and the CAPMThe Journal of Finance, 2006
- Does Idiosyncratic Risk Really Matter?The Journal of Finance, 2005
- Predictive Regressions: A Reduced-Bias Estimation MethodJournal of Financial and Quantitative Analysis, 2004
- On estimating the expected return on the market: An exploratory investigationPublished by Elsevier ,2002
- Conditioning Variables and the Cross Section of Stock ReturnsThe Journal of Finance, 1999
- Industry costs of equityPublished by Elsevier ,1998
- Predictable Stock Returns: The Role of Small Sample BiasThe Journal of Finance, 1993
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariancesEconometric Reviews, 1992
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986