Uncovering The Risk - Return Relation in The Stock Market  

Oleh:

Hui Guo

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 3 (Jun. 2006), page 1433-1464.
Topik: stock market; rates of return; securities markets; risk; correlation analysis; economic models; studies
Fulltext: p 1433.pdf (257.4KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

There is ongoing debate about the aparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the intertemporal capital asset pricing model (ICAPM) that separately identifies the two components of expected returns, namely, the risk component and the component due to the desire to hedge changes in investment opportunities. The estimated coefficient of relative risk aversion is positive, statistically significant, and reasonable in magnitude. However, expected returns are driven primarily but the hedge component. The comission of this component is partly responsible for the existing contradictory results.

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