Risk-Return Trade-Off for European Stock Markets

Research, Article English OPEN
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, Christos S.;
(2013)
  • Publisher: Universitat Rovira i Virgili. Departament d'Economia
  • Journal: volume 46,pages84-103issn: 1057-5219
  • Publisher copyright policies & self-archiving
  • Related identifiers: doi: 10.1016/j.irfa.2016.03.018
  • Subject: Risk-return trade-off, Dynamic factor model, Markov switching, Macro-…nance predictors, Higher order moments | Europa | 336 - Finances. Banca. Moneda. Borsa | Gestió de cartera | Mercats financers -- Europa | Factor model | Economía y empresa | Finances -- Models economètrics | Mercats financers | Economics and business | Models economètrics | Finanzas | Mercados financieros | European stock markets | 1057-5219 | Mercados económicos | Models econòmics | Finances | Economia i empresa | Macro-finance predictors

This paper adopts dynamic factor models with macro-finance predictors to revisit the intertemporal risk-return relation in five large European stock markets. We identify country specific, Euro area, and global factors to determine the conditional moments of returns cons... View more
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