Risk-return trade-off for European stock markets

被引：19

作者：

Aslanidis, Nektarios ^{[1
]}

Christiansen, Charlotte ^{[2
]}

Savva, Christos S. ^{[3
]}

机构：

[1] Univ Rovira & Virgili, CREIP, Dept Econ, Avinguda Univ 1, Reus 43204, Catalonia, Spain

[2] Aarhus Univ, Dept Econ & Business, CREATES, Fuglesangs Alle 4, DK-8210 Aarhus V, Denmark

[3] Cyprus Univ Technol, Dept Commerce Finance & Shipping, POB 50329, CY-3603 Limassol, Cyprus

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2016年 / 46卷

基金：

新加坡国家研究基金会;

关键词：

European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off; EXPECTED RETURNS; REGIME SWITCHES; VOLATILITY; PREMIUMS; US;

D O I：

10.1016/j.irfa.2016.03.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 European stock markets from 1986 to 2012. We use country specific, euro area, and US macro-finance factors to determine the conditional volatility and conditional return. We find that the risk-return trade-off is generally negative. The Markov switching model documents that there is time-variation in this trade-off that is linked to the state of the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the lowest quantile of the conditional return. (C) 2016 Elsevier Inc. All rights reserved.

引用

页码：84 / 103

页数：20

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