dc.contributor |
Universitat Rovira i Virgili. Departament d'Economia |
dc.contributor |
Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
dc.contributor.author |
Aslanidis, Nektarios |
dc.contributor.author |
Christiansen, Charlotte |
dc.contributor.author |
Savva, Christos S. |
dc.date.accessioned |
2015-02-23T16:36:03Z |
dc.date.available |
2015-02-23T16:36:03Z |
dc.date.created |
2014-09-30 |
dc.date.issued |
2015 |
dc.identifier.uri |
http://hdl.handle.net/2072/246967 |
dc.description.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 |
dc.format.extent |
59 p. |
dc.language.iso |
eng |
dc.publisher |
Universitat Rovira i Virgili. Departament d'Economia |
dc.relation.ispartofseries |
Documents de treball del Departament d'Economia;2015-04 |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.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/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject.other |
Mercats financers -- Europa |
dc.subject.other |
Finances -- Models economètrics |
dc.subject.other |
Gestió de cartera |
dc.title |
Risk-Return Trade-Off for European Stock Markets |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.embargo.terms |
cap |