The empirical risk–return relation: A factor analysis approach☆

• 1 January 2007
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 83  (1) , 171-222
• https://doi.org/10.1016/j.jfineco.2005.12.002

Abstract

Keywords

• G12
• G10
• STOCK MARKET VOLATILITY
• EXPECTED RETURNS
• SHARPE RATIO

All Related Versions

• Version 1, 2006-01-01, RePEc (Unconfirmed version)
• Version 1, 2005-01-01, RePEc (Unconfirmed version)