Investigating the puzzling intertemporal market risk-return relationship

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dc.creator Guedhami, Omrane
dc.creator Sy, Oumar
dc.date.accessioned 2013-12-09T16:12:03Z
dc.date.available 2013-12-09T16:12:03Z
dc.date.issued 1999
dc.identifier.uri http://library2.smu.ca/xmlui/handle/01/25457
dc.description.abstract This paper investigates the conflicting results documented by the existing empirical literature on the intertemporal relationship between the expected market risk premium and the conditional market variance. We show that the previous tests are biased because they use the realized market risk premium to proxy the expected market risk premium, without accounting for the negative portion of the market risk premium distribution. The empirical evidence based on a new test, allowing up and down-market volatility to have different impacts on the market risk premium, indicates a consistent and significant risk-return relationship. en_CA
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dc.description.provenance Made available in DSpace on 2013-12-09T16:12:03Z (GMT). No. of bitstreams: 1 asb_proceedings_2005_guedhami.pdf: 83402 bytes, checksum: 70b718d3a7f455184387dc7391cefd80 (MD5) Previous issue date: 2005 en
dc.format.extent 13 p.
dc.language.iso en en_CA
dc.publisher Atlantic Schools of Business en_CA
dc.subject.lcsh Risk-return relationships
dc.subject.lcsh Stock exchanges
dc.title Investigating the puzzling intertemporal market risk-return relationship en_CA
dc.type Text en_CA
dcterms.bibliographicCitation Proceedings of the 29th Atlantic Schools of Business Conference, Halifax, Nova Scotia,1999
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