Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/30931
Title: Risk-return trade-off in international stock returns: Skewness and business cycles
Authors: Nyberg, Henri 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: GARCH-in-mean model;ICAPM;Regime switching model;SGT distribution
Issue Date: 1-Jan-2023
Source: Econometrics and Statistics, 2023
Journal: Econometrics and Statistics 
Abstract: The fundamental risk-return relation is examined with a flexible regime switching model combining the impact of skewness and business cycle regimes in stock returns. Key methodological and empirical findings point out the need for a highly nonlinear and non-Gaussian model to get a reliable picture on the risk-return relationship. With an international dataset of major countries to global financial markets, the empirical results show that accounting especially for skewness patterns leads to the expected positive risk-return relation, which is importantly also maintained over different business cycle conditions.
URI: https://hdl.handle.net/20.500.14279/30931
ISSN: 24523062
DOI: 10.1016/j.ecosta.2023.02.004
Rights: © The Authors
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : University of Turku 
Cyprus University of Technology 
Publication Type: Peer Reviewed
Appears in Collections:Άρθρα/Articles

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