The non-linear trade-off between return and risk and its determinants
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Mostrar el registro completo del ítemcomunitat-uji-handle:10234/9
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Título
The non-linear trade-off between return and risk and its determinantsFecha de publicación
2022-04-08Editor
ElsevierISSN
0927-5398Cita bibliográfica
Cotter, J., & Salvador, E. (2022). The non-linear trade-off between return and risk and its determinants. Journal of Empirical Finance, 67, 100-132.Tipo de documento
info:eu-repo/semantics/articleVersión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be ... [+]
We estimate a discrete approximation of the risk-return trade-off for the US market by using the whole universe of stocks from July 1963 to September 2017. We find the relationship between return and total risk to be time-varying and also dependent on the level of risk considered. The proposed positive trade-off is mainly observed during low volatility periods and when we move from low risk up to medium-high risk investments. However, the direction of the trade-off is inverted for the highest risk alternatives especially during high volatility periods. The temporal variation of the risk-return trade-off can be explained by a series of sentiment, macro, credit risk, liquidity and corporate variables. All these determinants suggest that the positive relationship between return and risk is more evident during periods where economic, financial and market conditions improve. [-]
Publicado en
Journal of Empirical Finance 67 (2022) 100–132Entidad financiadora
Science Foundation Ireland | Ministerio de Economía, Industria y Competitividad | Universitat Jaume I
Código del proyecto o subvención
16/SPP/3347 | 13/RC/2106 P2 | ECO2017-85746-P | UJI-B2017-14
Derechos de acceso
info:eu-repo/semantics/openAccess
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