Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle

Volume: 47, Issue: 1, Pages: 137 - 158
Published: Apr 18, 2012
Abstract
In the empirical finance literature, findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, I develop a new qualitative response (QR)-generalized autoregressive conditional heteroskedasticity-in-mean (GARCH-M) model combining a probit model for a binary business cycle indicator and a regime-switching GARCH-M model for excess stock market return with the business cycle indicator defining the regime....
Paper Details
Title
Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle
Published Date
Apr 18, 2012
Volume
47
Issue
1
Pages
137 - 158
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