Browsing DFAEII by Author "Nave, Juan"

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      The Relationship between Risk and Expected Return in Europe 

      León, Angel; Nave, Juan; Rubio Irigoyen, Gonzalo (University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)
      We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between ...