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