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

Stock Returns and Risk: Evidence from Quantile

1
Department of Finance, Drexel University, 33rd and Chestnut Streets, Philadelphia, PA 19104, USA
2
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
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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 (CC BY 3.0).

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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.

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