Please use this identifier to cite or link to this item:
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
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.
ISSN: 10575219
Rights: © 2016 Elsevier Inc.
Type: Article
Appears in Collections:Άρθρα/Articles

Show full item record

Page view(s)

Last Week
Last month
checked on Jun 12, 2019

Google ScholarTM


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.