Is the risk-return paradox still alive?

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dc.contributor.author Cano Rodríguez, Manuel
dc.contributor.author Núñez-Nickel, Manuel
dc.date.accessioned 2006-11-07T09:37:06Z
dc.date.available 2006-11-07T09:37:06Z
dc.date.issued 2002-10
dc.identifier.uri http://hdl.handle.net/10016/72
dc.description.abstract To date, the validity of empirical Bowman's paradox papers that employ mean-variance approach for testing the risk/return relationship are inherently unverifiable and their results cannot be generalized. However, this problem can be overcome by developing an econometric model with two fundamental characteristics. The first one is the use of a time series model for each firm, avoiding the traditional cross-sectional analysis. The other one is to estimate a model with a single variable (the firm rate of return), but whose expectation and variance are mathematically related according to behavioral theories hypotheses, forming a heterocedastic model similar to "GARCH". Our results agree with behavioral theories and show that these theories can also be carry out with market measures.
dc.format.extent 403250 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries Workings Paper. Bussiness Economics
dc.relation.ispartofseries 2002-18
dc.title Is the risk-return paradox still alive?
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb024818
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