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Journal article
Stock returns and risk: Evidence from quantile regression analysis
Journal of risk and financial management, v 5(1), pp 20-58
01 Dec 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.
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Details
- Title
- Stock returns and risk: Evidence from quantile regression analysis
- Creators
- Thomas C. Chiang - Drexel UniversityJiandong Li - Chinese Acad Finance & Dev, Beijing, Peoples R China
- Publication Details
- Journal of risk and financial management, v 5(1), pp 20-58
- Publisher
- MDPI AG
- Number of pages
- 39
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000219539000002
- Other Identifier
- 991019167672704721
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- Collaboration types
- International collaboration
- Web of Science research areas
- Business, Finance