Re-examining the risk-return relationship in Europe: Linear or non-linear trade-off?

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Salvador, Enrique; Floros, Christos; Arago, Vicent;
  • Publisher: Elsevier
  • Related identifiers: doi: 10.1016/j.jempfin.2014.05.004
  • Subject: Regime switching GARCH | Regime-Switching MIDAS | Regime switching MIDAS | Pro-cyclical risk aversion | Non-linear risk-return tradeoff | Regime-Switching GARCH | Risk premium | Non-linear risk–return tradeoff

This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers the current state of the market, we obtain signif... View more
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