Listar por tema "ICAPM"
Mostrando ítems 1-2 de 2
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Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
Delta Publicaciones (2012)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 ... -
The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?
Academy of Economic Studies in Bucharest (2012)This 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 ...