Flight-to-safety and the risk-return trade-off: European evidence
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DOI: 10.1016/j.frl.2019.09.009
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… read more here.
Keywords: flight; flight safety; return trade; risk return ... See more keywords
Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Economics and Business"
DOI: 10.1016/j.jeconbus.2019.105886
Abstract: Abstract This study examines the link between returns and volatility of Bitcoin, at both contemporaneous and intertemporal levels, employing high-frequency data. The intraday price variability is proxied by four different measures, namely realized variance, jump… read more here.
Keywords: jump variation; risk return; return trade; bitcoin ... See more keywords
Conditional Dynamics and the Multihorizon Risk-Return Trade-Off
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DOI: 10.1093/rfs/hhab053
Abstract: We propose testing asset pricing models using multihorizon returns (MHRs). MHRs effectively generate a new set of test assets that is endogenous to the model and that identifies a broad set of possible conditional misspecifications.… read more here.
Keywords: risk; risk return; return trade; dynamics multihorizon ... See more keywords
Management strategies for vaccinated animals after an outbreak of foot-and-mouth disease and the impact on return to trade
Sign Up to like & getrecommendations! Published in 2019 at "PLoS ONE"
DOI: 10.1371/journal.pone.0223518
Abstract: An incursion of Foot-and-mouth disease (FMD) in a previously FMD-free country can cause significant economic damage from immediate and prolonged closure of FMD-sensitive markets. Whilst emergency vaccination may help contain disease, the presence of vaccinated… read more here.
Keywords: return trade; foot mouth; disease; management ... See more keywords