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The Intertemporal Risk‐Return Relation in the Stock Market
Author(s) -
Jiang Xiaoquan,
Lee Bong Soo
Publication year - 2009
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.2009.00229.x
Subject(s) - econometrics , economics , dividend , expected return , conditional variance , relation (database) , earnings , stock (firearms) , risk–return spectrum , robustness (evolution) , dividend yield , stock market , financial economics , volatility (finance) , dividend policy , autoregressive conditional heteroskedasticity , computer science , finance , portfolio , horse , engineering , biology , paleontology , biochemistry , mechanical engineering , gene , database , chemistry
We reexamine the intertemporal risk‐return relation. We find a positive risk‐return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we consider various sample periods and model specifications. Our finding of a positive relation is robust as long as we use firm fundamentals in measuring expected returns and conditional variances in a consistent manner.