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J. Risk Financial Manag. 2012, 5(1), 20-58; doi:10.3390/jrfm5010020
Article

Stock Returns and Risk: Evidence from Quantile

1,*  and 2
Published: 31 December 2012
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Abstract: This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns.
Keywords: Risk-return tradeoff; Volatility; Intraday skewness; Quantile Regression; High-frequency data Risk-return tradeoff; Volatility; Intraday skewness; Quantile Regression; High-frequency data
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Chiang, T.C.; Li, J. Stock Returns and Risk: Evidence from Quantile. J. Risk Financial Manag. 2012, 5, 20-58.

AMA Style

Chiang TC, Li J. Stock Returns and Risk: Evidence from Quantile. Journal of Risk and Financial Management. 2012; 5(1):20-58.

Chicago/Turabian Style

Chiang, Thomas C.; Li, Jiandong. 2012. "Stock Returns and Risk: Evidence from Quantile." J. Risk Financial Manag. 5, no. 1: 20-58.

J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert