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