Temporal aggregation and risk-return relation
The function form of a linear intertemporal relation between risk and return is suggested by Merton's (1973) analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, monthly, quarterly, or even...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/5244 https://ink.library.smu.edu.sg/context/lkcsb_research/article/6243/viewcontent/SSRN_id960902.pdf |
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| Institution: | Singapore Management University |
| Language: | English |