The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?
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Title
The Risk - Return Trade - off in Europe: Is There a Pro - cyclical Risk Aversion ?Date
2012Publisher
Academy of Economic Studies in BucharestISSN
1842-3264; 0424-267XType
info:eu-repo/semantics/articlePublisher version
http://www.ecocyb.ase.ro/index.htmVersion
info:eu-repo/semantics/submittedVersionSubject
Abstract
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 ... [+]
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 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. [-]
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 ... [+]
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 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. [-]
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Economic Computation and Economic Cybernetics Studies and Research, 2012 (3) - 183Rights
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