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Título:
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Risk-Return Trade-Off for European Stock Markets
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Autor/a:
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Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.
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Otros autores:
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Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
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Abstract:
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This paper adopts dynamic factor models with macro-finance
predictors to test the intertemporal risk-return relation for 13 European stock
markets. We identify country specific, euro area, and global macro-finance
factors to determine the conditional risk and return. Empirically, the risk-
return trade-off is generally negative. However, a Markov switching model
documents that there is time-variation in this trade-off that is linked to the
state of the economy.
Keywords:
Risk-return trade-off; Dynamic factor model; Macro-finance
predictors; European stock markets; Markov switching model
JEL Classifications:
C22; G11; G12; G17 |
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Fecha de creación:
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2015 |
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Materias (CDU):
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336 - Finances. Banca. Moneda. Borsa |
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Materia(s):
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Mercats financers -- Europa
Finances -- Models economètrics
Gestió de cartera |
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Derechos:
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L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
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Páginas:
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59 p. |
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Tipo de documento:
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Documento de trabajo |
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Editor:
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Universitat Rovira i Virgili. Departament d'Economia
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Collection:
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Documents de treball del Departament d'Economia;2015-04
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Compartir:
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