Next Article in Journal
The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
Previous Article in Journal
A General Empirical Model of Hedging
Journal of Risk and Financial Management is published by MDPI from Volume 6 Issue 1 (2013). Articles in this Issue were published by another publisher in Open Access under a CC-BY (or CC-BY-NC-ND) licence. Articles are hosted by MDPI on mdpi.com as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.
Open AccessArticle

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.
J. Risk Financial Manag. 2012, 5(1), 20-58; https://doi.org/10.3390/jrfm5010020
Published: 31 December 2012
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. View Full-Text
Keywords: Risk-return tradeoff; Volatility; Intraday skewness; Quantile Regression; High-frequency data Risk-return tradeoff; Volatility; Intraday skewness; Quantile Regression; High-frequency data
Show Figures

Figure 1

MDPI and ACS Style

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

Show more citation formats Show less citations formats

Article Access Map

1
Only visits after 24 November 2015 are recorded.
Back to TopTop