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Stock Returns and Risk: Evidence from Quantile

Listed author(s):
  • Thomas C. Chiang

    ()

    (Department of Finance, Drexel University, 33rd and Chestnut Streets, Philadelphia, PA 19104, USA)

  • Jiandong Li

    ()

    (Chinese Academy of Finance and Development (CAFD), Central University of Finance and Economics (CUFE), China)

Registered author(s):

    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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    Article provided by MDPI, Open Access Journal in its journal Journal of Risk and Financial Management.

    Volume (Year): 5 (2012)
    Issue (Month): 1 (December)
    Pages: 1-39

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    Handle: RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:20-58:d:28408
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