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Is there a risk-return trade-off? Evidences from Chinese stock markets

✍ Scribed by Dongmin Kong; Hening Liu; Le Wang


Book ID
107373860
Publisher
Higher Education Press and Springer
Year
2008
Tongue
English
Weight
536 KB
Volume
3
Category
Article
ISSN
1673-3444

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Is there a risk–return trade-off? Eviden
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## 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