Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor Framework
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comunitat-uji-handle2:10234/8648
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Title
Non-Linear Tradeoff between Risk and Return: A Regime-Switching Multi-Factor FrameworkDate
2012Publisher
Delta Publicaciones; Asociación Internacional de Economía AplicadaType
info:eu-repo/semantics/articlePublisher version
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1794183Version
info:eu-repo/semantics/submittedVersionSubject
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 ... [+]
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. [-]
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Anales de Economía Aplicada, n. 26 (2012)Rights
http://rightsstatements.org/vocab/CNE/1.0/
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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- COFIN_Articles [213]