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https://hdl.handle.net/20.500.14279/9216| Τίτλος: | Skewness and the relation between risk and return | Συγγραφείς: | Theodossiou, Panayiotis Savva, Christos S. |
metadata.dc.contributor.other: | Θεοδοσίου, Παναγιώτης Σάββα, Χρίστος Σ. |
Major Field of Science: | Social Sciences | Field Category: | Economics and Business | Λέξεις-κλειδιά: | GARCH-M;Risk-return trade-off;SGT distribution | Ημερομηνία Έκδοσης: | 1-Ιου-2016 | Πηγή: | Management Science, 2016, vol. 62, no. 6, pp. 1598-1609 | Volume: | 62 | Issue: | 6 | Start page: | 1598 | End page: | 1609 | Περιοδικό: | Management Science | Περίληψη: | The relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory. Evidence presented in this paper shows that these contradictions are the result of negative skewness in the distribution of portfolio excess return and the fact that the estimation of intertemporal asset pricing models are based on symmetric log-likelihood specifications. | URI: | https://hdl.handle.net/20.500.14279/9216 | ISSN: | 15265501 | DOI: | 10.1287/mnsc.2015.2201 | Rights: | © INFORMS | Type: | Article | Affiliation: | Cyprus University of Technology | Publication Type: | Peer Reviewed |
| Εμφανίζεται στις συλλογές: | Άρθρα/Articles |
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