Jan, Yin-Ching; Chiu, Su-Ling - In: The International Journal of Business and Finance Research 4 (2010) 3, pp. 79-91
This paper employs a hybrid approach that combines an adapted version of Fama-MacBeth two-pass regression with Engle-Granger cointegration test to characterize the relationship between expected stock returns and systematic risks with diverse investment horizons. We find no evidence supporting a...