Please use this identifier to cite or link to this item: http://ktisis.cut.ac.cy/handle/10488/9216
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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