Journal article
The intertemporal risk-return relationship: Evidence from international markets
Journal of international financial markets, institutions & money, v 39, pp 156-180
Nov 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
•Risk-return relationship is studied for 7 advanced and 7 emerging markets.•Covariance between industry and market excess returns is used to measure risk.•The evidence finds a positive risk-return relationship for majority of countries.•The positive risk-return relationship is more pronounced in the tranquil period.
This paper examines the intertemporal capital asset pricing (Merton, 1973) for industry portfolio returns of 14 international markets. Using different multivariate GARCH models to estimate time-varying conditional covariances between industry excess returns and market excess returns by controlling for financial market volatility variables and the Fama–French–Carhart factors, we find positive evidence to support the tradeoff between industry excess return and the covariance risk for all advanced markets (except Germany), all Asian markets, and Argentina in Latin American markets. The evidence suggests that the positive risk-return relationship is more pronounced during the tranquil period.
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Details
- Title
- The intertemporal risk-return relationship: Evidence from international markets
- Creators
- Thomas C. Chiang - Drexel UniversityHuimin Li - West Chester UniversityDazhi Zheng - West Chester University
- Publication Details
- Journal of international financial markets, institutions & money, v 39, pp 156-180
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:000367512200011
- Scopus ID
- 2-s2.0-84959530465
- Other Identifier
- 991019167534604721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance
- Economics