Title:
|
Risk-Return Trade-Off for European Stock Markets
|
Author:
|
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.
|
Other authors:
|
Universitat Rovira i Virgili. Departament d'Economia; Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
Abstract:
|
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 |
Publication date:
|
2015 |
Subject (UDC):
|
336 - Finances. Banca. Moneda. Borsa |
Subject(s):
|
Mercats financers -- Europa Finances -- Models economètrics Gestió de cartera |
Rights:
|
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/ |
Pages:
|
59 p. |
Document type:
|
Working Paper |
Published by:
|
Universitat Rovira i Virgili. Departament d'Economia
|
Collection:
|
Documents de treball del Departament d'Economia;2015-04
|
Share:
|
|