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Cited by 354 publications
(236 citation statements)
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References 51 publications
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“…Ghysels, Santa-Clara and Valkanov (2005) give an argument that different results of risk-return tradeoff stem from the different approaches used to model the conditional variance. However, Lundblad (2007) indicates that the mixed results are due to the time span of the observations being used. Lanne and Saikkonen (2006) employ a GARCH-M model and find no risk-return tradeoff in monthly US data due to unnecessary intercept in the ICAPM.…”
Section: Review Of the Literaturementioning
confidence: 99%
“…Ghysels, Santa-Clara and Valkanov (2005) give an argument that different results of risk-return tradeoff stem from the different approaches used to model the conditional variance. However, Lundblad (2007) indicates that the mixed results are due to the time span of the observations being used. Lanne and Saikkonen (2006) employ a GARCH-M model and find no risk-return tradeoff in monthly US data due to unnecessary intercept in the ICAPM.…”
Section: Review Of the Literaturementioning
confidence: 99%
“…6 Guo and Whitelaw, however, focus on Merton (1973) and also consider the investment opportunity set. The relationship studied in the present paper, and in Lundblad (2007), is based on that presented in Merton (1980) which represents a simplification of those in his 1973 paper. (1999), the signal to noise ratio is simply too weak to be detected in studies like these.…”
Section: Introductionmentioning
confidence: 92%
“…Indeed, studies that have documented a positive risk return tradeoff in the time series have typically relied on the use of mixed frequency data (see Ghysels, SantaClara, and Valkanov (2005)), cross-sectional approaches (see Guo andWhitelaw (2006), Bali andEngle (2010)), or very long historical data (see Lundblad (2007)). A simple regression of asset returns on lagged measures of risk such as the VIX or realized volatility typically do not yield any statistically significant relationship for the risk-return tradeoff (e.g.…”
Section: Related Literaturementioning
confidence: 99%