Artikel
Stock returns and risk: Evidence from quantile
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns' quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns.
- Language
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Englisch
- Bibliographic citation
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Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 5 ; Year: 2012 ; Issue: 1 ; Pages: 20-58 ; Basel: MDPI
- Classification
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Wirtschaft
Hypothesis Testing: General
Estimation: General
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
- Subject
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Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data
- Event
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Geistige Schöpfung
- (who)
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Chiang, Thomas C.
Li, Jiandong
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2012
- DOI
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doi:10.3390/jrfm5010020
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Chiang, Thomas C.
- Li, Jiandong
- MDPI
Time of origin
- 2012
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