Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.14279/9134
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Aslanidis, Nektarios | - |
dc.contributor.author | Christiansen, Charlotte | - |
dc.contributor.author | Savva, Christos S. | - |
dc.contributor.other | Σάββα, Χρήστος Σ. | - |
dc.date.accessioned | 2017-01-19T07:37:36Z | - |
dc.date.available | 2017-01-19T07:37:36Z | - |
dc.date.issued | 2016-07-01 | - |
dc.identifier.citation | International Review of Financial Analysis, 2016, vol. 46, pp. 84-103 | en_US |
dc.identifier.issn | 10575219 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.14279/9134 | - |
dc.description.abstract | This 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.format | en_US | |
dc.language.iso | en | en_US |
dc.relation.ispartof | International Review of Financial Analysis | en_US |
dc.rights | © Elsevier | en_US |
dc.subject | European stock markets | en_US |
dc.subject | Risk-return trade-off | en_US |
dc.subject | Factor model | en_US |
dc.subject | Quantile regressions | en_US |
dc.title | Risk-return trade-off for European stock markets | en_US |
dc.type | Article | en_US |
dc.collaboration | Universitat Rovira i Virgili | en_US |
dc.collaboration | Aarhus University | en_US |
dc.collaboration | Cyprus University of Technology | en_US |
dc.subject.category | Economics and Business | en_US |
dc.journals | Subscription | en_US |
dc.country | Spain | en_US |
dc.country | Cyprus | en_US |
dc.country | Denmark | en_US |
dc.subject.field | Social Sciences | en_US |
dc.publication | Peer Reviewed | en_US |
dc.identifier.doi | 10.1016/j.irfa.2016.03.018 | en_US |
dc.relation.volume | 46 | en_US |
cut.common.academicyear | 2020-2021 | en_US |
dc.identifier.spage | 84 | en_US |
dc.identifier.epage | 103 | en_US |
item.fulltext | No Fulltext | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.openairecristype | http://purl.org/coar/resource_type/c_6501 | - |
item.cerifentitytype | Publications | - |
item.openairetype | article | - |
crisitem.journal.journalissn | 1057-5219 | - |
crisitem.journal.publisher | Elsevier | - |
crisitem.author.dept | Department of Finance, Accounting and Management Science | - |
crisitem.author.faculty | Faculty of Tourism Management, Hospitality and Entrepreneurship | - |
crisitem.author.orcid | 0000-0001-6562-4816 | - |
crisitem.author.parentorg | Faculty of Management and Economics | - |
Appears in Collections: | Άρθρα/Articles |
CORE Recommender
SCOPUSTM
Citations
20
checked on Nov 9, 2023
WEB OF SCIENCETM
Citations
19
Last Week
0
0
Last month
1
1
checked on Oct 29, 2023
Page view(s)
424
Last Week
0
0
Last month
28
28
checked on Mar 13, 2025
Google ScholarTM
Check
Altmetric
Items in KTISIS are protected by copyright, with all rights reserved, unless otherwise indicated.