Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/9134
Title: Risk-return trade-off for European stock markets
Authors: Aslanidis, Nektarios 
Christiansen, Charlotte 
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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