The risk return tradeoff in the long run: 1836–2003

By Christian Lundblad. 2007

354 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/767377a3272c96730d882c6c525e2e01d82469e1

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Citations in the corpus

Volatility‐Managed Portfolios (2017, methodology): “We also use data on currency returns from Adrien Verdelhan used in Lustig et al. (2011). We also include daily and monthly data from Hou et al.”
Investor Sentiment and the Mean-Variance Relation (2011, background): “15 For example, French, Schwert, and Stambaugh (1987), Nelson (1991), Campbell and Hentschel (1992), Ghysel, Santa-Clara, and Valkanov (2005), and Lundblad (2007).”
Is Default Risk Negatively Related to Stock Returns (2010, background): “Lundblad (2007) shows that a very long sample of realized returns is needed to establish a positive relation between risk and return.”
Anticipating Long‐Term Stock Market Volatility (2014, neutral): “While some studies such as Lundblad (2007) find evidence in favor of a positive relationship, others such as Glosten et al. (1993) point towards a negative one.”
The VIX, the Variance Premium and Stock Market Volatility (2013, neutral): “Lundblad (2007) suggests that the samples typically used are too short to uncover a relationship that is robustly and statistically significantly positive in the sample of over 150 years that he considers.”
The intertemporal capital asset pricing model with dynamic conditional correlations (2010, result): “Some studies do provide evidence supporting a positive and significant link between expected return and risk (e.g., Bollerslev et al., 1988; Scruggs, 1998; Ghysels et al., 2005; Guo and Whitelaw, 2006; Lundblad, 2007; Bali, 2008).”
Real Asset Illiquidity and the Cost of Capital (2014, background): “Lundblad (2007) shows that a very long sample is needed to detect a positive risk-return relation using realized returns.”
How do policies mobilize private finance for renewable energy?—A systematic review with an investor perspective (2019, background): “The finance literature has long established a positive relationship between investment risk and return in theory [37] and, more recently, empirically [23,24].”
Multifactor models and their consistency with the ICAPM (2012, neutral): “An incomplete list of recent papers includes Scruggs (1998), Whitelaw (2000), Brandt and Kang (2004), Ghysels, SantaClara, and Valkanov (2005), Guo and Whitelaw (2006), Lundblad (2007), Pástor, Sinha, and Swaminathan (2008), Bali, Demirtas, and Levy (2009), and Guo, Savickas, Wang, and Yang (2009).”
Does Religion Matter to Equity Pricing? (2012, positive): “While there is wide support for Weber’s (1905) main conclusion that religiosity has a positive effect on economic growth, subsequent studies call into question his assertion that all development and prosperity are due to Protestantism, as opposed to Catholicism.(1) More recent articles, however, sup”
A Discrete-Time Model for Daily S & P500 Returns and Realized Variations: Jumps and Leverage Effects (2009, positive): “Consistent with existing results in the literature suggesting that reliable estimates for this risk premium parameter requires longer return horizons and time-spans of data (see e.g. Lundblad (2004) and Ghysels et al. (2005)), we found the GARCH-in-Mean effect to be insignificant at the daily level.”
Customer Satisfaction, Analyst Stock Recommendations, and Firm Value (2010, background): “Note that this model accounts not only for risk-return trade-offs (with y parameter) but also for serial correlation and conditional heteroskedasticity in stock prices (with hit, a1, and g1 parameters; Bollerslev 1986; Lundblad 2007; Schwert and Seguin 1990).”