There is a risk-return trade-off after all：（有一种风险回报权衡）.pdfVIP

There is a risk-return trade-off after all a b b,∗ Eric Ghysels , Pedro Santa-Clara , Rossen Valkanov a Kenan-Flagler Business School, McColl Building, Suite 4100, University of North Carolina, Chapel Hill NC 27599-3490, USA b The John E. Anderson Graduate School of Management, University of California at Los Angeles, Los Angeles, CA 90095-1481, USA (Received 2 May 2003; accepted 4 March 2004) Abstract This paper studies the intertemporal relation between the conditional mean and the condi- tional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns, the mixed data sampling (or MIDAS) approach. Using MIDAS, we find a significantly positive relation between risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance process and to controlling for variables associated with the business cycle. We compare the MIDAS results with tests of the intertemporal capital asset pricing model based on alternative conditional variance specifications and explain the conflicting results in the literature. Finally, we offer new insights about the dynamics of conditional variance. JEL classification: G12; C22 Keywords: risk-return trade-off; ICAPM; MIDAS; conditional variance We thank Michael Brandt, Tim Bollerslev, Mike Chernov, Rob Engle, Shingo Goto, Amit Goyal, Campbell Harvey, David Hendry, Francis Longstaff, Nour Meddahi, Eric Renault, Matt Richardson, Neil Shephard, and seminar participants at Barclays Global Investors, Centro de Estudios Monetarios y Fi- nancieros (Madrid), Emory University, the G