Show simple item record

dc.contributor.authorAragó Manzana, Vicent
dc.contributor.authorSalvador Aragó, Enrique
dc.date.accessioned2013-05-31T18:23:54Z
dc.date.available2013-05-31T18:23:54Z
dc.date.issued2012
dc.identifier.issn1842 – 3264
dc.identifier.issn0424 – 267 X
dc.identifier.urihttp://hdl.handle.net/10234/65338
dc.description.abstractThis paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. We introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. The consideration of this pooled analysis (temporal and cross-sectional) let us obtain a positive and significant relationship between return and risk supporting the doctrine of the mainstream in the field. This result is even more evident when the estimation is conditioned on the main crises periods highlighting that the estimated risk-aversion parameter is higher in boom periods than in recession periods, reflecting a procyclical risk aversion in the investor profile.ca_CA
dc.format.extent12 p.ca_CA
dc.format.mimetypeapplication/pdfca_CA
dc.language.isoengca_CA
dc.publisherAcademy of Economic Studies in Bucharestca_CA
dc.relation.isPartOfEconomic Computation and Economic Cybernetics Studies and Research, 2012 (3) - 183ca_CA
dc.subjectEquity risk premiumca_CA
dc.subjectmultivariate GARCHca_CA
dc.subjectcross-sectional analysisca_CA
dc.subjectICAPMca_CA
dc.subjectpro-cyclical risk aversionca_CA
dc.titleThe Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?ca_CA
dc.typeinfo:eu-repo/semantics/articleca_CA
dc.rights.accessRightsinfo:eu-repo/semantics/openAccessca_CA
dc.relation.publisherVersionhttp://www.ecocyb.ase.ro/index.htmca_CA


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record