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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 5 ; Year: 2012 ; Issue: 1 ; Pages: 20-58 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Estimation: General
General Financial Markets: General (includes Measurement and Data)
Portfolio Choice; Investment Decisions
- Thema
-
Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chiang, Thomas C.
Li, Jiandong
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2012
- DOI
-
doi:10.3390/jrfm5010020
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Chiang, Thomas C.
- Li, Jiandong
- MDPI
Entstanden
- 2012
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