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https://hdl.handle.net/20.500.14279/13471
Πεδίο DC | Τιμή | Γλώσσα |
---|---|---|
dc.contributor.author | Savva, Christos S. | - |
dc.contributor.author | Theodossiou, Panayiotis | - |
dc.date.accessioned | 2019-04-08T18:09:14Z | - |
dc.date.available | 2019-04-08T18:09:14Z | - |
dc.date.issued | 2018-06-01 | - |
dc.identifier.citation | Journal of Financial Econometrics, 2018, vol. 16, no. 3, pp. 486-521 | en_US |
dc.identifier.issn | 14798409 | - |
dc.description.abstract | The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the analytical framework developed by Theodossiou and Savva (2016) along with time-varying asymmetry, linked to the upside and downside uncertainty, the risk-return puzzle is investigated across international stock markets. The investigation reveals that the contradictory findings are the result of ignoring the impact of skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive as depicted by finance theory. However, negative skewness results in lowering the total price of risk and in some cases reverting its sign from positive to negative. | en_US |
dc.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | Journal of Financial Econometrics | en_US |
dc.rights | © The Author(s) . Published by Oxford University Press. All rights reserved | en_US |
dc.subject | Downside risk | en_US |
dc.subject | National stock markets | en_US |
dc.subject | Risk premium | en_US |
dc.subject | Skewed generalized t | en_US |
dc.subject | Skewness premium | en_US |
dc.subject | Upside uncertainty | en_US |
dc.title | The risk and return conundrum explained: international evidence | en_US |
dc.type | Article | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Hybrid Open Access | en_US |
dc.country | Cyprus | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1093/jjfinec/nby014 | en_US |
dc.identifier.scopus | 2-s2.0-85051548874 | - |
dc.identifier.url | https://doi.org/10.1093%2Fjjfinec%2Fnby014 | - |
dc.relation.issue | 3 | en_US |
dc.relation.volume | 19 | en_US |
cut.common.academicyear | 2017-2018 | en_US |
dc.identifier.external | 56036858 | - |
dc.identifier.spage | 486 | en_US |
dc.identifier.epage | 521 | en_US |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.journal.journalissn | 1479-8417 | - |
crisitem.journal.publisher | Oxford University Press | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.faculty | Faculty of Management and Economics | - |
crisitem.author.orcid | 0000-0001-6562-4816 | - |
crisitem.author.orcid | 0000-0001-5556-2594 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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