How to cite this paper
Lahmiri, S. (2013). Estimating the risk-return tradeoff in MENA Stock Markets.Decision Science Letters , 2(2), 119-124.
Refrences
Baillie, R., & DeGennaro, P. (1990). Stock return and volatility. Journal of Financial and Quantitative Analysis, 25, 203-214.
Bansal, R., & Lundblad, C. (2002). Market efficiency, asset returns, and the size of the risk premium in global equity markets. Journal of Econometrics, 109, 195-237.
Box G.E.P., Jenkins G., & Reinsel, G.C. (1994). Time Series Analysis: Forecasting and Control. Third edition. Prentice-Hall.
Campbell, J.Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock. Journal of Financial Economics, 31, 281-318.
Curci, R., Grieb, T., & Reyes, M.G. (2002). Mean and Volatility Transmission for Latin american Equity Markets. Studies in Economics and Finance, 20 (2), 39-57.
Devaney, M. (2001). Time varying risk premia for real estate investment trusts: A GARCH-M model. The Quarterly Review of Economics and Finance, 41, 335- 346.
Dickey, D. A., & Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431.
Engle, R.F., Lilien, D.M., & Robins, R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391–407.
Forgha, N.G. (2012). An Investigation into the Volatility and Stock Returns Efficiency in African Stock Exchange Markets. International Review of Business Research Papers, 8 (5), 176-190.
French, K.R., Schwert, G.W., & Stambaugh, R.F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 13-29.
Girard, E., Rahman, H., & Zaher, T. (2002). Intertemporal risk return relationship in the Asian markets around the Asian crisis. Financial Services Review, 10, 249-272.
Glosten, L., Jagannatha, R., & Runkle, D. (1993). The relationship between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Green, W.H. Econometric Analysis. Seventh edition. Prentice-Hall, 2008.
Ljung, G.M., & Box, G.E.P. (1978). On a Measure of a Lack of Fit in Time Series Models. Biometrika, 65 (2), 297-303.
Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica, 41 (5), 867-887.
Merton, R.C. (1980). On estimating the expected return on the market. Journal of Financial Economics, 8, 323-361.
Nam, K., Pyun, C.S., & Avard, S.L. (2001). Asymmetric reverting behavior of short horizon stock returns: an evidence of stock market overreaction. Journal of Banking and Finance, 25 (4), 807-821.
Phillips, P.C.B, & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335-346.
Xing, X., & Howe, J.S. (2003). The empirical relationship between risk and return: evidence from the UK stock market. International Review of Financial Analysis, 12 (3), 329-346.
Bansal, R., & Lundblad, C. (2002). Market efficiency, asset returns, and the size of the risk premium in global equity markets. Journal of Econometrics, 109, 195-237.
Box G.E.P., Jenkins G., & Reinsel, G.C. (1994). Time Series Analysis: Forecasting and Control. Third edition. Prentice-Hall.
Campbell, J.Y., & Hentschel, L. (1992). No news is good news: an asymmetric model of changing volatility in stock. Journal of Financial Economics, 31, 281-318.
Curci, R., Grieb, T., & Reyes, M.G. (2002). Mean and Volatility Transmission for Latin american Equity Markets. Studies in Economics and Finance, 20 (2), 39-57.
Devaney, M. (2001). Time varying risk premia for real estate investment trusts: A GARCH-M model. The Quarterly Review of Economics and Finance, 41, 335- 346.
Dickey, D. A., & Fuller, W.A. (1979). Distribution of the Estimators for Autoregressive Time Series with a Unit Root. Journal of the American Statistical Association, 74, 427-431.
Engle, R.F., Lilien, D.M., & Robins, R.P. (1987). Estimating time varying risk premia in the term structure: the ARCH-M model. Econometrica, 55, 391–407.
Forgha, N.G. (2012). An Investigation into the Volatility and Stock Returns Efficiency in African Stock Exchange Markets. International Review of Business Research Papers, 8 (5), 176-190.
French, K.R., Schwert, G.W., & Stambaugh, R.F. (1987). Expected stock returns and volatility. Journal of Financial Economics, 19, 13-29.
Girard, E., Rahman, H., & Zaher, T. (2002). Intertemporal risk return relationship in the Asian markets around the Asian crisis. Financial Services Review, 10, 249-272.
Glosten, L., Jagannatha, R., & Runkle, D. (1993). The relationship between expected value and the volatility of the nominal excess return on stocks. Journal of Finance, 48, 1779-1801.
Green, W.H. Econometric Analysis. Seventh edition. Prentice-Hall, 2008.
Ljung, G.M., & Box, G.E.P. (1978). On a Measure of a Lack of Fit in Time Series Models. Biometrika, 65 (2), 297-303.
Merton, R.C. (1973). An intertemporal capital asset pricing model. Econometrica, 41 (5), 867-887.
Merton, R.C. (1980). On estimating the expected return on the market. Journal of Financial Economics, 8, 323-361.
Nam, K., Pyun, C.S., & Avard, S.L. (2001). Asymmetric reverting behavior of short horizon stock returns: an evidence of stock market overreaction. Journal of Banking and Finance, 25 (4), 807-821.
Phillips, P.C.B, & Perron, P. (1988). Testing for a Unit Root in Time Series Regression. Biometrika, 75 (2), 335-346.
Xing, X., & Howe, J.S. (2003). The empirical relationship between risk and return: evidence from the UK stock market. International Review of Financial Analysis, 12 (3), 329-346.