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The Intertemporal Risk‐Return Relation in the Stock Market

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  • Xiaoquan Jiang
  • Bong Soo Lee
Abstract
We reexamine the intertemporal risk‐return relation. We find a positive risk‐return relation by measuring expected returns and conditional variance in a consistent manner using firm fundamentals. As measures of fundamentals, we use earnings and dividends. For the robustness of our results, we consider various sample periods and model specifications. Our finding of a positive relation is robust as long as we use firm fundamentals in measuring expected returns and conditional variances in a consistent manner.

Suggested Citation

  • Xiaoquan Jiang & Bong Soo Lee, 2009. "The Intertemporal Risk‐Return Relation in the Stock Market," The Financial Review, Eastern Finance Association, vol. 44(4), pages 541-558, November.
    • Handle: RePEc:bla:finrev:v:44:y:2009:i:4:p:541-558
    DOI: 10.1111/j.1540-6288.2009.00229.x
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    Cited by:

    1. Boero, Gianna & Mandalinci, Zeyyad & Taylor, Mark P., 2019. "Modelling portfolio capital flows in a global framework: Multilateral implications of capital controls," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 142-160.
    2. Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
    3. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
    4. Wang, Zijun & Khan, M. Moosa, 2017. "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 314-327.
    5. Jiranyakul, Komain, 2011. "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper 45583, University Library of Munich, Germany.

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