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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





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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 Risk-return tradeoff; Volatility; Intraday skewness; Quantile Regression; High-frequency data





Autor: Thomas C. Chiang 1,* and Jiandong Li 2

Fuente: http://mdpi.com/



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