Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
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Mostra el registre complet de l'elementcomunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8648
comunitat-uji-handle3:10234/8649
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INVESTIGACIONMetadades
Títol
Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor FrameworkData de publicació
2012Editor
Delta Publicaciones; Asociación Internacional de Economía AplicadaTipus de document
info:eu-repo/semantics/articleVersió de l'editorial
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1794183Versió
info:eu-repo/semantics/submittedVersionParaules clau / Matèries
Resum
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 ... [+]
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. [-]
Publicat a
Anales de Economía Aplicada, n. 26 (2012)Drets d'accés
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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