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https://hdl.handle.net/20.500.14279/30931
Τίτλος: | Risk-return trade-off in international stock returns: Skewness and business cycles |
Συγγραφείς: | Nyberg, Henri Savva, Christos S. |
Major Field of Science: | Social Sciences |
Field Category: | Economics and Business |
Λέξεις-κλειδιά: | GARCH-in-mean model;ICAPM;Regime switching model;SGT distribution |
Ημερομηνία Έκδοσης: | 1-Ιαν-2023 |
Πηγή: | Econometrics and Statistics, 2023 |
Περιοδικό: | Econometrics and Statistics |
Περίληψη: | 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 |
Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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