The Risk-Return Relation in International Stock Markets
نویسندگان
چکیده
منابع مشابه
The Risk-Return Relation in International Stock Markets
We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tra...
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We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant. Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, whic...
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ژورنال
عنوان ژورنال: The Financial Review
سال: 2006
ISSN: 0732-8516,1540-6288
DOI: 10.1111/j.1540-6288.2006.00157.x