There Is a Risk–Return Trade-Off After All

By F. T. Magiera. 2005

558 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e485e931923e954f8a3092968174611b85ed4546

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Citations in the corpus

A New Anomaly: The Cross-Sectional Profitability of Technical Analysis (2013, background): “…and volatilities (on both the aggregate market and individual stock level) has been supported by both theory (e.g. Merton, 1973, 1987; Malkiel and Xu, 2004) and empirical evidence (e.g. Lehmann, 1990; Malkiel and Xu, 2004; Spiegel and Wang, 2005; Ghysels, Santa-Clara, and Valkanov, 2005; Fu, 2009).”
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).”
Stock Market Volatility and Macroeconomic Fundamentals (2013, methodology): “(volatility filtering) by Ghysels et al. (2005).”
THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK (2008, background): “Ghysels, Santa-Clara, and Valkanov (2005) introduce a new variance estimator that uses past daily squared returns, and they conclude that the monthly data are consistent with a positive relation between conditional expected excess return and conditional variance.”
The Divergence of Liquidity Commonality in the Cross-Section of Stocks (2007, background): “…systematic and idiosyncratic volatility of stock returns (O’Hara (2003)), our study may also have implications for the recently documented pricing of idiosyncratic return volatility (Goyal and Santa-Clara (2003), Ghysels, Santa-Clara, and Valkanov (2005), and Ang, Hodrick, Xing, and Zhang (2006)).”
Forecasting with Mixed Frequencies (2010, background): “Ghysels, Santa-Clara, and Valkanov (2005) and Ghysels, Sinko, and Valkanov (2007) also suggest an exponential Almon specification: In this case, simple time averaging is obtained when θ 1 = θ 2 = 0.”
A MIDAS Approach to Modeling First and Second Moment Dynamics (2016, unknown): “These include the exponential Almon lag of (Ghysels et al. (2005), Andreou et al. (2013)) B (k; θ) = e θ 1 k+θ 2 k 2 +...+θpk p K i=1 e θ 1 i+θ 2 i 2 +...+θpi p , and the normalized Beta function of Ghysels et al. (2007) B (k; θ) = k−1 K−1 θ 1 −1 1 − k−1 K−1 θ 2 −1 K i=1 i−1 K−1 θ 1 −1 1 − i−1 K−1…”
MIDAS Regressions: Further Results and New Directions (2007, methodology): “Ghysels et al. (2005) indeed find that L is significant with monthly/daily MIDAS regression regressions.”
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables (2012, unknown): “The Giacomini and White (2006) test for superior (unconditional) predictive ability, however, rarely indicates a statistical difference in the mean square prediction error between these forecasts and the univariate benchmark.”
Testing for Granger Causality with Mixed Frequency Data (2016, unknown): “In addition to the causality literature, the present paper also draws upon and contributes to the MIDAS literature originated by Ghysels et al. (2004, 2005).”
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].”