This paper formerly circulated under the titles “On the Out-of-Sample Stock Return Predictability: The International Evidence” and “Does Stock Market Volatility Forecast Returns: The International Evidence.” I especially thank an anonymous referee for many insightful and constructive comments. I also thank conference participants of the 2004 FMA meeting for helpful suggestion. Bill Bock and Jason Higbee provided excellent research assistance. The views expressed in this paper are those of the author and do not necessarily reflect the official positions of the Federal Reserve Bank of St. Louis or the Federal Reserve System. Morgan Stanley Capital International, Inc. (MSCI), its affiliates, and information providers make no warranties with respect to data used in this article. The MSCI data used in this article may not be used, distributed, or disseminated without the written consent of MSCI.
The Risk-Return Relation in International Stock Markets
Article first published online: 9 OCT 2006
Volume 41, Issue 4, pages 565–587, November 2006
How to Cite
Guo, H. (2006), The Risk-Return Relation in International Stock Markets. Financial Review, 41: 565–587. doi: 10.1111/j.1540-6288.2006.00157.x
- Issue published online: 9 OCT 2006
- Article first published online: 9 OCT 2006
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