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Quantile Risk-Return Trade-Off

  • Datos identificativos

    Identificador: imarina:9220595
    Handle: https://hdl.handle.net/20.500.11797/imarina9220595
    Autores:
    Aslanidis, NektariosChristiansen, CharlotteSavva, Christos S.
    Resumen:
    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.

  • Otros:

    Autor según el artículo: Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.;
    Departamento: Economia
    Autor/es de la URV: Aslanidis, Nektarios
    Palabras clave: Volatility Vix Stocks Stock markets Risk–return trade-off Risk-return trade-off Quantile regressions Markets Intertemporal relation
    Resumen: 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.
    Áreas temáticas: Finance Economics and econometrics Business, management and accounting (miscellaneous) Business, finance Accounting
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    Direcció de correo del autor: nektarios.aslanidis@urv.cat nektarios.aslanidis@urv.cat
    Identificador del autor: 0000-0001-8990-920X 0000-0001-8990-920X
    Fecha de alta del registro: 2024-10-26
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Journal Of Risk And Financial Management. 14 (6):
    Referencia de l'ítem segons les normes 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
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2021
    Tipo de publicación: Journal Publications

  • Palabras clave:

    Accounting,Business, Finance,Business, Management and Accounting (Miscellaneous),Economics and Econometrics,Finance
    Volatility
    Vix
    Stocks
    Stock markets
    Risk–return trade-off
    Risk-return trade-off
    Quantile regressions
    Markets
    Intertemporal relation
    Finance
    Economics and econometrics
    Business, management and accounting (miscellaneous)
    Business, finance
    Accounting

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