Estimating and Analyzing the Risk-Return Relationship in the Stock Market
The main purpose of this thesis is to estimate and investigate the relationship between risk and expected return in the stock market within a time-series context. The model is based on the intertemporal capital asset pricing model (ICAPM), and the method of log-linearization is implemented in the analysis. As a result, two main components of expected returns, the risk and hedge components are iden