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Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
dc.contributor.author | Aragó, Vicent | |
dc.contributor.author | Salvador, Enrique | |
dc.date.accessioned | 2013-06-06T11:40:58Z | |
dc.date.available | 2013-06-06T11:40:58Z | |
dc.date.issued | 2012 | |
dc.identifier.uri | http://hdl.handle.net/10234/66175 | |
dc.description.abstract | This study develops a multi-factor framework where not only the market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be obtained if a non-linear relation is established. The positive and significant tradeoff between return and risk is essentially observed during low volatility periods suggesting a procyclical risk aversion of investors. Different patterns for the risk premium dynamics in low and high volatility periods are obtained, both in risk prices and risk (conditional second moments) patterns. | ca_CA |
dc.format.extent | 24 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Delta Publicaciones | ca_CA |
dc.publisher | Asociación Internacional de Economía Aplicada | ca_CA |
dc.relation.isPartOf | Anales de Economía Aplicada, n. 26 (2012) | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/CNE/1.0/ | * |
dc.subject | Non-linear model | ca_CA |
dc.subject | Regime-Switching BEKK | ca_CA |
dc.subject | ICAPM | ca_CA |
dc.subject | multivariate GARCH | ca_CA |
dc.subject | multi-factor models | ca_CA |
dc.title | Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.relation.publisherVersion | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1794183 | |
dc.type.version | info:eu-repo/semantics/submittedVersion |
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