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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jrfm-14-00249.pdf | Fulltext | 2.06 MB | Adobe PDF | View/Open |
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