Guo, Hui; Savickas, Robert; Wang, Zijun; Yang, Jian - Federal Reserve Bank of St. Louis - 2006
We uncover a positive, empirical risk-return tradeoff in the stock market after controlling for the covariance of stock market returns with the value premium. The underlying premise is that, as conjectured by Fama and French (1996), the value premium is a proxy for time-varying investment...