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Quantile Risk-Return Trade-Off [PDF]
SSRN Electronic Journal, 2021 We investigate the risk–return trade-off on the US and European stock markets. We investigate the non-linear risk–return trade-off with a special eye to the tails of the stock returns using quantile regressions. We first consider the US stock market portfolio.
Nektarios Aslanidis +2 more
openaire +8 more sources
The risk-return trade-off between solitary and eusocial reproduction. [PDF]
Ecol Lett, 2015 AbstractSocial insect colonies can be seen as a distinct form of biological organisation because they function as superorganisms. Understanding how natural selection acts on the emergence and maintenance of these colonies remains a major question in evolutionary biology and ecology.
Fu F, Kocher SD, Nowak MA.
europepmc +4 more sources
Regime switches in the risk–return trade-off [PDF]
Journal of Empirical Finance, 2014 Notre étude porte sur l’estimation de la relation entre le risque et le rendement. À cette fin, nous estimons cette relation avec un modèle à changements de régimes markoviens en utilisant un modèle MIDAS pour la variance conditionnelle. Les résultats obtenus à partir de nombreuses spécifications militent fortement en faveur de changements de régimes ...
MARCELLINO, MASSIMILIANO +2 more
openaire +8 more sources
The Risk-Return Trade-Off in Emerging Markets [PDF]
Emerging Markets Finance and Trade, 2012 This paper studies the risk-return trade-off in some of the main emerging stock markets in the world. Although previous studies on emerging markets were not able to show a positive and significant trade-off, favorable evidence can be obtained if a ...
Salvador, Enrique
core +4 more sources
Business cycle variation in the risk-return trade-off [PDF]
SSRN Electronic Journal, 2012 In the United States and other Organisation for Economic Co-operation and Development (OECD) countries, the expected returns on stocks, adjusted for volatility, are much higher in recessions than in expansions.
Lustig, Hanno +1 more
core +5 more sources
Flight-to-safety and the risk-return trade-off: European evidence [PDF]
Finance Research Letters, 2020 Abstract This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off.
Aslanidis, Nektarios +2 more
openaire +4 more sources
Viability of Risk-return Trade-off within a South African Context
Journal of Accounting and Investment, 2022 Research aims: This study aimed to determine whether systematic risk and return are related to each other. It answered the research question: Is it realistic for investors to expect high returns when their investments are associated with more riskiness ...
Natasha Robbetze +1 more
doaj +1 more source
Entrepreneurship and Sustainability Issues, 2022 Portfolio selection is one of the main financial topics. The original portfolio selection problem dealt with the trade-off between return and risk, measured as the mean returns and the variance, respectively.
Fernando García +4 more
doaj +1 more source
Government bond market risk-return trade-off
Quantitative Finance and Economics, 2023 <abstract> <p>We analyze the risk-return trade-off for international (France, Germany, Netherlands, Spain, UK, and US) government bond markets and the US stock market. We measure risk by the higher order moments (volatility, skewness, and excess kurtosis) as they are defined in <xref ref-type="bibr" rid="b12">Savva and Theodossiou ...
Christiansen, Charlotte +1 more
openaire +4 more sources
Relationship between cash holdings and expected equity returns: evidence from Pacific alliance countries [PDF]
Journal of Economics Finance and Administrative Science, 2021 Purpose - This paper aims to examine the relationship between cash holdings (CH) and expected equity return in a sample of firms of Pacific alliance countries. Design/methodology/approach - This paper constructed a panel of Pacific alliance firms for the
Judith Vergara Garavito +1 more
doaj +1 more source