Temporal Aggregation and Risk-Return Relation
The function form of a linear intertemporal relation between risk and return is suggested by Merton's [1973. Econometrica 41, 867–887] analytical work for instantaneous returns, whereas empirical studies have examined the nature of this relation using temporally aggregated data, i.e., daily, mo...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/529 https://ink.library.smu.edu.sg/context/soe_research/article/1528/viewcontent/tempagg.pdf |
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| Institution: | Singapore Management University |
| Language: | English |