We study the partial risk-return relationship in stock markets in the last two and half
decades by using GMM to implement Intertemporal Capital Asset Pricing Model
(ICAPM) of Merton (1973) directly to S&P 500 index, All Ordinaries index, FTSE 100
Index and Nikkei 225 Index data. The hedge demand is considered by using returns from
long term government bond as state variable and compute conditional covariance with a
modified EGARCH-in-Mean model. Implied volatility, realized variance, and the MGME
variances are used to measure conditional risk in the four markets. It is found that riskreturn
trade-off is positive and significant in the four markets with US has the highest
market price of risk. The results in the four markets are robust after controlling for
microstructure effects and errors in the risk measurements. We find previous studies tend
to overestimate the risk-return trade-off and sampling frequency effect as observed
previously in the US market is observed across international markets. The direction for
further investigation is noted.
Keywords: Risk-Return, Stock markets, ICAPM, MGME, Risk Measures
학술대회/행사
학술대회안내
[2008년 제 4차] Intertemporal Risk-Return Relation: Some Internatio
작성자 : 관리자
조회수 : 814
게시일 :
2008-12-11