An Investigation of the Risk and Return Relation at Long Horizons
使用半非参数密度估计和蒙特卡洛积分，发现股票预期回报与条件波动率在长期（如1-2年）呈显著正相关，而短期（如1个月）无此关系，并指出文献中负相关可能源于模型设定错误。
This paper examines the relation between expected stock returns and their conditional volatility over different holding periods and across different states of the economy. Seminonparametric density estimation and Monte Carlo integration are used to obtain the expected returns and conditional volatility at various holding intervals. We uncover a significantly positive risk and return relation at long holding intervals, such as one and two years, which is nonexistent at short holding periods such as one month. We also show that the existing finding in the literature of a negative risk and return relation may be attributable to misspecification. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology