Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/23034
Title: Quantile Risk–Return Trade-Off
Authors: Aslanidis, Nektarios 
Christiansen, Charlotte 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Risk–return trade-off;Quantile regressions;VIX;Stock markets
Issue Date: Jun-2021
Source: Journal of Risk and Financial Management, 2021, vol. 14, no. 6, articl. no. 249
Volume: 14
Issue: 6
Journal: Journal of Risk and Financial Management 
Abstract: We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk–return trade-off is significantly positive at the upper tail (0.9 quantile), where the upper tail is large positive excess returns. The positive trade-off is as expected from asset pricing models. For the lower tail (0.1 quantile), that is for large negative stock returns, the trade-off is significantly negative. Additionally, for the median (0.5 quantile), the risk–return trade-off is insignificant. These results are recovered for the US industry portfolios and for Eurozone stock market portfolios.
URI: https://hdl.handle.net/20.500.14279/23034
ISSN: 19118074
DOI: 10.3390/jrfm14060249
Rights: © by the authors. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license.
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Universitat Rovira i Virgili 
Aarhus University 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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