Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - In: Journal of Financial and Quantitative Analysis 44 (2009) 01, pp. 133-154
We uncover a positive stock market risk-return tradeoff after controlling for the covariance of market returns with the value premium. Fama and French (1996) conjecture that the value premium proxies for investment opportunities; therefore, by ignoring it, early specifications suffer from an...