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https://hdl.handle.net/20.500.14279/19089
Τίτλος: | Flight-to-safety and the risk-return trade-off: European evidence | Συγγραφείς: | Aslanidis, Nektarios Christiansen, Charlotte Savva, Christos S. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | Flight-to-safety;Risk-return trade-off;European markets;Stock market;Bond market | Ημερομηνία Έκδοσης: | Ιου-2020 | Πηγή: | Finance Research Letters, 2020, vol. 35, articl. no. 101294 | Volume: | 35 | Περιοδικό: | Finance Research Letters | Περίληψη: | This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off. | URI: | https://hdl.handle.net/20.500.14279/19089 | ISSN: | 15446123 | DOI: | 10.1016/j.frl.2019.09.009 | Rights: | © Elsevier Attribution-NonCommercial-NoDerivatives 4.0 International |
Type: | Article | Affiliation: | Universitat Rovira i Virgili Aarhus University Cyprus University of Technology Lund University |
Publication Type: | Peer Reviewed |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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