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Stock Returns and Risk: Evidence from Quantile
Department of Finance, Drexel University, 33rd and Chestnut Streets, Philadelphia, PA 19104, USA
Chinese Academy of Finance and Development (CAFD), Central University of Finance and Economics (CUFE), China
* Author to whom correspondence should be addressed.
Published: 31 December 2012
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
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Cite This Article
MDPI and ACS Style
Chiang, T.C.; Li, J. Stock Returns and Risk: Evidence from Quantile. J. Risk Financial Manag. 2012, 5, 20-58.
Chiang TC, Li J. Stock Returns and Risk: Evidence from Quantile. Journal of Risk and Financial Management. 2012; 5(1):20-58.
Chiang, Thomas C.; Li, Jiandong. 2012. "Stock Returns and Risk: Evidence from Quantile." J. Risk Financial Manag. 5, no. 1: 20-58.