Smaller portfolio returns and the risk-return trade-off for the whole market

References

• Andersen, T. and Bollerslev, T. (1998) Answering the skeptics: yes, standard volatility models do provide accurate forecasts, International Economic Review, 39, 885–995. doi:10.2307/2527343.
   Web of Science ®Google Scholar
• Avramov, D. (2002) Stock return predictability and model uncertainty, Journal of Financial Economics, 64, 423–58. doi:10.1016/S0304-405X(02)00131-9.
   Web of Science ®Google Scholar
• Baillie, R. and Degennaro, R. (1990) Stock returns and volatility, The Journal of Financial and Quantitative Analysis, 25, 203–14. doi:10.2307/2330824.
   Web of Science ®Google Scholar
• Bali, T. G. (2008) The intertemporal relation between expected returns and risk, Journal of Financial Economics, 87, 101–31. doi:10.1016/j.jfineco.2007.03.002.
   Web of Science ®Google Scholar
• Bali, T. G. and Peng, L. (2006) Is there a risk-return trade-off? Evidence from high-frequency data, Journal of Applied Econometrics, 21, 1169–98. doi:10.1002/jae.911.
   Web of Science ®Google Scholar
• Bauwens, L. and Lubrano, M. (1998) Bayesian inference on GARCH models using the Gibbs sampler, Econometrics Journal, 1, C23–C46. doi:10.1111/1368-423X.11003.
   Google Scholar
• Bauwens, L. and Lubrano, M. (2002) Bayesian option pricing using asymmetric GARCH models, Journal of Empirical Finance, 9, 321–42. doi:10.1016/S0927-5398(01)00058-5.
   Google Scholar
• Bollerslev, T. (1986) Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307–27. doi:10.1016/0304-4076(86)90063-1.
   Web of Science ®Google Scholar
• Bollerslev, T. (1990) Modelling the coherence in short run nominal exchange rates: a multivariate generalized ARCH model, The Review of Economics and Statistics, 72, 498–505. doi:10.2307/2109358.
   Web of Science ®Google Scholar
• Bollerslev, T., Engle, R. and Wooldridge, J. M. (1988) A capital asset pricing model with time-varying covariances, Journal of Political Economy, 96, 116–31. doi:10.1086/261527.
   Web of Science ®Google Scholar
• Campbell, J. and Hentschel, L. (1992) No news is good news: an asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281–318. doi:10.1016/0304-405X(92)90037-X.
   Web of Science ®Google Scholar
• Chou, R. (1988) Volatility persistence and stock valuations: some empirical evidence using GARCH, Journal of Applied Econometrics, 3, 279–94. doi:10.1002/jae.3950030404.
   Web of Science ®Google Scholar
• Cremers, K. (2002) Stock return predictability: a Bayesian model selection perspective, Review of Financial Studies, 15, 1223–49. doi:10.1093/rfs/15.4.1223.
   Web of Science ®Google Scholar
• Engle, R. (1982) Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987–1008. doi:10.2307/1912773.
   Web of Science ®Google Scholar
• Engle, R., Lilien, D. M. and Robins, R. P. (1987) Estimating time varying risk premia in the term structure: the ARCH-M model, Econometrica, 55, 391–407. doi:10.2307/1913242.
   Web of Science ®Google Scholar
• Engle, R. F. (2002) Dynamic conditional correlation – a simple class of multivariate GARCH models, Journal of Business and Economic Statistics, 20, 339–50. doi:10.1198/073500102288618487.
   Web of Science ®Google Scholar
• Engle, R. F. and Kroner, K. F. (1995) Multivariate simultaneous generalized ARCH, Econometric Theory, 11, 122–50. doi:10.1017/S0266466600009063.
   Web of Science ®Google Scholar
• French, K., Schwert, G. and Stambaugh, R. (1987) Expected stock returns and volatility, Journal of Financial Economics, 19, 3–29. doi:10.1016/0304-405X(87)90026-2.
   Web of Science ®Google Scholar
• Geweke, J. (1989) Exact predictive densities for linear models with ARCH disturbances, Journal of Econometrics, 40, 63–86. doi:10.1016/0304-4076(89)90030-4.
   Web of Science ®Google Scholar
• Ghysels, E., Santa-Clara, P. and Valkanov, R. (2005) There is a risk-return trade-off after all, Journal of Financial Economics, 76, 509–48. doi:10.1016/j.jfineco.2004.03.008.
   Web of Science ®Google Scholar
• Glosten, L., Jagannathan, R. and Runkle, D. (1993) On the relation between the expected value and the volatility of the nominal excess return on stocks, The Journal of Finance, 48, 1779–801. doi:10.1111/j.1540-6261.1993.tb05128.x.
   Web of Science ®Google Scholar
• Hentschel, L. (1995) All in the family nesting symmetric and asymmetric GARCH models, Journal of Financial Economics, 39, 71–104. doi:10.1016/0304-405X(94)00821-H.
   Web of Science ®Google Scholar
• Kleibergen, F. and van Dijk, H. (1993) Non-stationarity in GARCH models: a Bayesian analysis, Journal of Applied Econometrics, 8, SS41–SS61. doi:10.1002/jae.3950080505.
   Google Scholar
• Koop, G. (2003) Bayesian Econometrics, John Wiley & Sons, Chichester.
   Google Scholar
• Koop, G., Poirier, D. and Tobias, J. (2007) Bayesian Econometric Methods, Cambridge University Press, New York.
   Google Scholar
• Kroner, K. and Ng, V. (1998) Modeling asymmetric comovements of asset returns, Review of Financial Studies, 11, 817–44. doi:10.1093/rfs/11.4.817.
   Web of Science ®Google Scholar
• Lanne, M. and Luoto, J. (2008) Robustness of the risk-return relationship in the U.S. stock market, Finance Research Letters, 5, 118–27. doi:10.1016/j.frl.2008.03.001.
   Web of Science ®Google Scholar
• Lanne, M. and Saikkonen, P. (2006) Why is it so difficult to uncover the risk-return tradeoff in stock returns?, Economics Letters, 92, 118–25. doi:10.1016/j.econlet.2006.01.029.
   Web of Science ®Google Scholar
• Ludvigson, S. and Ng, S. (2007) The empirical risk–return relation: a factor analysis approach, Journal of Financial Economics, 83, 171–222. doi:10.1016/j.jfineco.2005.12.002.
   Web of Science ®Google Scholar
• Lundblad, C. (2007) The risk return tradeoff in the long run: 1836–2003, Journal of Financial Economics, 85, 123–50. doi:10.1016/j.jfineco.2006.06.003.
   Web of Science ®Google Scholar
• Merton, R. (1973) An intertemporal capital asset pricing model, Econometrica, 41, 867–89. doi:10.2307/1913811.
   Web of Science ®Google Scholar
• Nakatsuma, T. (2000) Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach, Journal of Econometrics, 95, 57–69. doi:10.1016/S0304-4076(99)00029-9.
   Web of Science ®Google Scholar
• Nelson, D. (1991) Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347–70. doi:10.2307/2938260.
   Web of Science ®Google Scholar
• Osiewalski, J. and Pipień, M. (2004) Bayesian comparison of bivariate arch-type models for the main exchange rates in Poland, Journal of Econometrics, 123, 371–91. doi:10.1016/j.jeconom.2003.12.005.
   Web of Science ®Google Scholar
• Rabemananjara, R. and Zakoian, J. (1993) Threshold arch models and asymmetries in volatility, Journal of Applied Econometrics, 8, 31–49. doi:10.1002/jae.3950080104.
   Web of Science ®Google Scholar
• Scruggs, J. T. (1998) Resolving the puzzling intertemporal relation between the market risk premium and conditional market variance: a two-factor approach, The Journal of Finance, 53, 575–603. doi:10.1111/0022-1082.235793.
   Web of Science ®Google Scholar
• Scruggs, J. T. and Glabadanidis, P. (2003) Risk premia and the dynamic covariance between stock and bond returns, The Journal of Financial and Quantitative Analysis, 38, 295–316. doi:10.2307/4126752.
   Web of Science ®Google Scholar
• Sentana, E. (1995) Quadratic ARCH models, The Review of Economic Studies, 62, 639–61. doi:10.2307/2298081.
   Web of Science ®Google Scholar
• Vrontos, I., Dellaportas, P. and Politis, D. (2000) Full Bayesian inference for GARCH and EGARCH models, Journal of Business and Economic Statistics, 18, 187–98.
   Web of Science ®Google Scholar
• Zellner, A. (1971) Bayesian Inference in Econometrics, John Wiley & Sons, New York.
   Google Scholar