Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of Empirical Finance 18 (2011) 2, pp. 306-320
We analysed daily returns of the CRSP value weighted and equally weighted indices over 1953-2007 in order to test for Merton's theorised relationship between risk and return. Like some previous studies we used a GARCH stochastic volatility approach, employing not only traditional discrete time...