Author, as appears in the article.: Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.;
Department: Economia
URV's Author/s: Aslanidis, Nektarios
Keywords: Volatility Vix Stocks Stock markets Risk–return trade-off Risk-return trade-off Quantile regressions Markets Intertemporal relation
Abstract: We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk-return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where the upper tail is large positive excess returns. The positive trade-off is as expected from asset pricing models. For the lower tail (0.1 quantile), that is for large negative stock returns, the trade-off is significantly negative. Additionally, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry portfolios and for Eurozone stock market portfolios.
Thematic Areas: Finance Economics and econometrics Business, management and accounting (miscellaneous) Business, finance Accounting
licence for use: https://creativecommons.org/licenses/by/3.0/es/
Author's mail: nektarios.aslanidis@urv.cat nektarios.aslanidis@urv.cat
Author identifier: 0000-0001-8990-920X 0000-0001-8990-920X
Record's date: 2024-10-26
Papper version: info:eu-repo/semantics/publishedVersion
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Journal Of Risk And Financial Management. 14 (6):
APA: Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.; (2021). Quantile Risk-Return Trade-Off. Journal Of Risk And Financial Management, 14(6), -. DOI: 10.3390/jrfm14060249
Article's DOI: 10.3390/jrfm14060249
Entity: Universitat Rovira i Virgili
Journal publication year: 2021
Publication Type: Journal Publications
Repositori URV