1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
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Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/23034
DC FieldValueLanguage
dc.contributor.authorAslanidis, Nektarios-
dc.contributor.authorChristiansen, Charlotte-
dc.contributor.authorSavva, Christos S.-
dc.date.accessioned2021-09-13T12:11:09Z-
dc.date.available2021-09-13T12:11:09Z-
dc.date.issued2021-06-
dc.identifier.citationJournal of Risk and Financial Management, 2021, vol. 14, no. 6, articl. no. 249en_US
dc.identifier.issn19118074-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/23034-
dc.description.abstractWe 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.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of Risk and Financial Managementen_US
dc.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.en_US
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/*
dc.subjectRisk–return trade-offen_US
dc.subjectQuantile regressionsen_US
dc.subjectVIXen_US
dc.subjectStock marketsen_US
dc.titleQuantile Risk–Return Trade-Offen_US
dc.typeArticleen_US
dc.collaborationUniversitat Rovira i Virgilien_US
dc.collaborationAarhus Universityen_US
dc.collaborationCyprus University of Technologyen_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsOpen Accessen_US
dc.countrySpainen_US
dc.countryDenmarken_US
dc.countryCyprusen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.3390/jrfm14060249en_US
dc.relation.issue6en_US
dc.relation.volume14en_US
cut.common.academicyear2020-2021en_US
item.openairetypearticle-
item.cerifentitytypePublications-
item.fulltextWith Fulltext-
item.grantfulltextopen-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.languageiso639-1en-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.journal.journalissn1911-8074-
crisitem.journal.publisherMDPI-
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