The time-varying risk–return trade-off and its explanatory and predictive factors
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comunitat-uji-handle2:10234/8648
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INVESTIGACIONMetadatos
Título
The time-varying risk–return trade-off and its explanatory and predictive factorsFecha de publicación
2023Editor
ElsevierCita bibliográfica
ALEMANY, Nuria; ARAGÓ, Vicent; SALVADOR, Enrique. The time-varying risk–return trade-off and its explanatory and predictive factors. The North American Journal of Economics and Finance, 2023, vol. 68, p. 101953.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://www.sciencedirect.com/science/article/pii/S1062940823000761Versión
info:eu-repo/semantics/publishedVersionPalabras clave / Materias
Resumen
We analyze the intertemporal dimension of the risk–return trade-off and determine the drivers that better explain and predict its evolution. To this end, we propose a novel estimate of the relationship between return ... [+]
We analyze the intertemporal dimension of the risk–return trade-off and determine the drivers that better explain and predict its evolution. To this end, we propose a novel estimate of the relationship between return and risk where we generate time variation in the trade-off without conditioning the estimates to any state variable. We compare this dynamic approach with time-invariant or state-dependent estimates and observe that our dynamic method reasonably aligns with the constant (state dependent) methods but it offers a much broader picture of the risk–return trade-off. We also link its evolution to a set of macroeconomic, systematic and sentiment or uncertainty risk factors. We find that the risk–return relationship is positive during expansionary periods but it decreases during recessionary periods where occasionally even turns out negative. Our main conclusions hold for the consideration of hedging components, different MV-GARCH models or window lengths and several proxies of market returns and risk. [-]
Publicado en
The North American Journal of Economics and Finance, 2023Entidad financiadora
Universitat Jaume I | Ministerio de Ciencia, Innovación y Universidades
Código del proyecto o subvención
UJI-B2020-48 | PID2020-115450GB-I00
Derechos de acceso
info:eu-repo/semantics/openAccess
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