Is there a risk–return trade-off? Eviden
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Turan G. Bali; Lin Peng
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Article
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2006
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John Wiley and Sons
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English
⚖ 267 KB
## Abstract This paper examines the intertemporal relation between risk and return for the aggregate stock market using high‐frequency data. We use daily realized, GARCH, implied, and range‐based volatility estimators to determine the existence and significance of a risk–return trade‐off for severa