Risk-Return Trade-Off for European Stock Markets
| Contribuinte(s) |
Universitat Rovira i Virgili. Departament d'Economia Universitat Rovira i Virgili. Centre de Recerca en Economia Industrial i Economia Pública |
|---|---|
| Data(s) |
2015
|
| Resumo |
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 |
| Formato |
59 p. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Universitat Rovira i Virgili. Departament d'Economia |
| Relação |
Documents de treball del Departament d'Economia;2015-04 |
| Direitos |
info:eu-repo/semantics/openAccess 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/ |
| Fonte |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
| Palavras-Chave | #Mercats financers -- Europa #Finances -- Models economètrics #Gestió de cartera #336 - Finances. Banca. Moneda. Borsa |
| Tipo |
info:eu-repo/semantics/workingPaper |
