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

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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.

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