Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/9134
DC FieldValueLanguage
dc.contributor.authorAslanidis, Nektarios-
dc.contributor.authorChristiansen, Charlotte-
dc.contributor.authorSavva, Christos S.-
dc.contributor.otherΣάββα, Χρήστος Σ.-
dc.date.accessioned2017-01-19T07:37:36Z-
dc.date.available2017-01-19T07:37:36Z-
dc.date.issued2016-07-01-
dc.identifier.citationInternational Review of Financial Analysis, 2016, vol. 46, pp. 84-103en_US
dc.identifier.issn10575219-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/9134-
dc.description.abstractThis paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets from 1986 to 2012. We use country specific, euro area, and US macro-finance factors to determine the conditional volatility and conditional return. We find that the risk-return trade-off is generally negative. The Markov switching model documents that there is time-variation in this trade-off that is linked to the state of the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the lowest quantile of the conditional return.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofInternational Review of Financial Analysisen_US
dc.rights© Elsevieren_US
dc.subjectEuropean stock marketsen_US
dc.subjectRisk-return trade-offen_US
dc.subjectFactor modelen_US
dc.subjectQuantile regressionsen_US
dc.titleRisk-return trade-off for European stock marketsen_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.journalsSubscriptionen_US
dc.countrySpainen_US
dc.countryCyprusen_US
dc.countryDenmarken_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.irfa.2016.03.018en_US
dc.relation.volume46en_US
cut.common.academicyear2020-2021en_US
dc.identifier.spage84en_US
dc.identifier.epage103en_US
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn1057-5219-
crisitem.journal.publisherElsevier-
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-
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