Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/178534
Authors: 
Chiang, Thomas C.
Li, Jiandong
Year of Publication: 
2012
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 5 [Year:] 2012 [Issue:] 1 [Pages:] 20-58
Abstract: 
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns' quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns.
Subjects: 
Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data
JEL: 
C12
C13
G10
G11
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-sa/3.0/
Document Type: 
Article
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