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We use daily realized, GARCH, implied, and range\u2010based volatility estimators to determine the existence and significance of a risk\u2013return trade\u2010off for several stock market indices. We find a positive and statistically significant relation between the conditional mean and conditional volatility of market returns at the daily level. This result is robust to alternative specifications of the volatility process, across different measures of market return and sample periods, and after controlling for macro\u2010economic variables associated with business cycle fluctuations. We also analyze the risk\u2013return relationship over time using rolling regressions, and find that the strong positive relation persists throughout our sample period. The market risk measures adopted in the paper add power to the analysis by incorporating valuable information, either by taking advantage of high\u2010frequency intraday data (in the case of realized, GARCH, and range volatility) or by utilizing the market's expectation of future volatility (in the case of implied volatility index). Copyright \u00a9 2006 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.911","type":"journal-article","created":{"date-parts":[[2006,12,12]],"date-time":"2006-12-12T13:18:34Z","timestamp":1165929514000},"page":"1169-1198","source":"Crossref","is-referenced-by-count":136,"title":["Is there a risk\u2013return trade\u2010off? 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