Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/178534
Autoren: 
Chiang, Thomas C.
Li, Jiandong
Datum: 
2012
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 5 [Year:] 2012 [Issue:] 1 [Pages:] 20-58
Zusammenfassung: 
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.
Schlagwörter: 
Risk-return tradeoff
Volatility
Intraday skewness
Quantile Regression
High-frequency data
JEL: 
C12
C13
G10
G11
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
https://creativecommons.org/licenses/by-nc-sa/3.0/
Dokumentart: 
Article
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe
715.87 kB





Publikationen in EconStor sind urheberrechtlich geschützt.