Intertemporal risk-return tradeoff in the short-run
Sign Up to like & getrecommendations! Published in 2018 at "Economics Letters"
DOI: 10.1016/j.econlet.2018.08.031
Abstract: We hypothesize that good (bad) market news causes overpricing (underpricing) in the short-term, thereby inducing a weak or negative (significantly positive) intertemporal risk-return tradeoff. We verify this asymmetry through the indirect relation of a weak… read more here.
Keywords: return tradeoff; short run; tradeoff short; risk return ... See more keywords
Asymmetric volatility and conditional expected returns
Sign Up to like & getrecommendations! Published in 2017 at "International Journal of Emerging Markets"
DOI: 10.1108/ijoem-12-2015-0255
Abstract: Purpose The risk-return relationship is one of the most widely investigated topics in finance, yet this relationship remains one of the most controversial topics. The purpose of this paper is to investigate the asymmetric volatility… read more here.
Keywords: return tradeoff; risk; asymmetric volatility; risk return ... See more keywords