#2001-001C "Uncovering the Risk-Return Relation in the Stock Market"
by Hui Guo, and Robert Whitelaw
January 2001
Revised April 2005

There is an ongoing debate about the apparent weak or negative relation between risk (conditional variance) and expected returns in the aggregate stock market. We develop and estimate an empirical model based on the ICAPM that separately identifies the two components of expected returns—the risk component and the component due to the desire to hedge changes in investment opportunities. More...

PUBLISHED: Journal of Finance, June 2006, 61(3), pp. 1433-63