NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Estimating the Risk-Return Trade-off with Overlapping Data Inference

Esben Hedegaard, Robert J. Hodrick

NBER Working Paper No. 19969
Issued in March 2014

---- Acknowledgements -----

We thank Jules van Binsbergen, Eric Ghysels, Christian Lundblad, Alberto Plazzi, Rossen Valkanov, and the seminar participants at the Stanford Graduate School of Business for helpful comments; and we thank Norman White for research computing assistance. This research was supported by a grant from the Network for Study on Pensions, Aging, and Retirement to the Columbia Business School. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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