Is there a risk–return trade‐off? Evidence from high‐frequency data
风险与收益是否存在权衡？来自高频数据的证据
Abstract This paper examines the intertemporal relation between risk and return for the aggregate stock market using high‐frequency data. We use daily realized, GARCH, implied, and range‐based volatility estimators to determine the existence and significance of a risk–return trade‐off for several stock market indices. We find a positive and statistically significant relation between the conditional mean and conditional volatility of market returns at the daily level. This…