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|Title:||Skewness and the relation between risk and return||Authors:||Theodossiou, Panayiotis
Savva, Christos S.
|Keywords:||GARCH-M;Risk-return trade-off;SGT distribution||Category:||Economics and Business||Field:||Social Sciences||Issue Date:||1-Jun-2016||Publisher:||INFORMS Inst.for Operations Res.and the Management Sciences||Source:||Management Science, 2016, Volume 62, Issue 6, Pages 1598-1609||metadata.dc.doi:||10.1287/mnsc.2015.2201||Abstract:||The relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory. Evidence presented in this paper shows that these contradictions are the result of negative skewness in the distribution of portfolio excess return and the fact that the estimation of intertemporal asset pricing models are based on symmetric log-likelihood specifications.||URI:||http://ktisis.cut.ac.cy/handle/10488/9216||ISSN:||00251909||Rights:||© 2016 INFORMS.||Type:||Article|
|Appears in Collections:||Άρθρα/Articles|
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