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.accessioned
2024-12-10T13:28:27Z
dc.date.available
2015-02-23T16:36:03Z
dc.date.available
2024-12-10T13:28:27Z
dc.date.created
2014-09-30
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
eng
dc.format.extent
59 p.
cat
dc.publisher
Universitat Rovira i Virgili. Departament d'Economia
cat
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
cat
dc.subject.other
Finances -- Models economètrics
cat
dc.subject.other
Gestió de cartera
cat
dc.title
Risk-Return Trade-Off for European Stock Markets
cat
dc.type
info:eu-repo/semantics/workingPaper
cat
