We examine the risk-return characteristics of a rolling portfolio investment strategy where more than six thousand … turnover and low leverage, which may lower systematic risk exposures. To examine this possibility, we launch an easily … constructed ‘low minus high’ (LMH) stock turnover portfolio as a liquidity risk factor. The LMH factor produces significant betas …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this … time-varying price of risk than value stocks, which co-vary more with shocks to cash flows. When the model is calibrated to …

. Such a failure of predictive power is not an indication that risk-premia are constant, however. On the contrary, the … the equity risk-premium and expected dividend growth precisely because expected returns fluctuate at those frequencies …, and co-vary with changing forecasts of dividend growth. The findings imply that both the market risk-premium and expected …

? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … change over time? This chapter reviews what is known about the time-series evolution of the risk-return tradeoff for stock … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the …

This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …