Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle
提出一种新的模型，结合商业周期指标和波动率，发现美国股票超额收益在商业周期中存在显著变化，且风险与预期收益呈正相关关系。
Abstract In the empirical finance literature, findings on the risk-return tradeoff in excess stock market returns are ambiguous. In this study, I develop a new qualitative response (QR)-generalized autoregressive conditional heteroskedasticity-in-mean (GARCH-M) model combining a probit model for a binary business cycle indicator and a regime-switching GARCH-M model for excess stock market return with the business cycle indicator defining the regime. Estimation results show that there is statistically significant variation in the U.S. excess stock returns over the business cycle. However, consistent with the conditional intertemporal capital asset pricing model (ICAPM), there is a positive risk-return relationship between volatility and expected return independent of the state of the economy.