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|Title:||Risk-return trade-off for European stock markets||Authors:||Aslanidis, Nektarios
Savva, Christos S.
|Keywords:||European stock markets;Risk-return trade-off;Factor model;Quantile regressions||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-Jul-2016||Publisher:||Elsevier Inc.||Source:||International Review of Financial Analysis, 2016, Volume 46, Pages 84-103||metadata.dc.doi:||http://dx.doi.org/10.1016/j.irfa.2016.03.018||Abstract:||This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets from 1986 to 2012. We use country specific, euro area, and US macro-finance factors to determine the conditional volatility and conditional return. We find that the risk-return trade-off is generally negative. The Markov switching model documents that there is time-variation in this trade-off that is linked to the state of the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the lowest quantile of the conditional return.||URI:||http://ktisis.cut.ac.cy/handle/10488/9134||ISSN:||10575219||Rights:||© 2016 Elsevier Inc.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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