The non-linear trade-off between return and risk and its determinants
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Títol
The non-linear trade-off between return and risk and its determinantsData de publicació
2022-04-08Editor
ElsevierISSN
0927-5398Cita bibliogràfica
Cotter, J., & Salvador, E. (2022). The non-linear trade-off between return and risk and its determinants. Journal of Empirical Finance, 67, 100-132.Tipus de document
info:eu-repo/semantics/articleVersió
info:eu-repo/semantics/publishedVersionParaules clau / Matèries
Resum
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. [-]
Publicat a
Journal of Empirical Finance 67 (2022) 100–132Entitat finançadora
Science Foundation Ireland | Ministerio de Economía, Industria y Competitividad | Universitat Jaume I
Codi del projecte o subvenció
16/SPP/3347 | 13/RC/2106 P2 | ECO2017-85746-P | UJI-B2017-14
Drets d'accés
info:eu-repo/semantics/openAccess
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