Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1399
Título: The risk-return trade-off in Europe: A temporal and cross-sectional analysis
Autor: Aragó, Vicent
Salvador, Enrique
Palavras-chave: Equity risk premium
Multivariate GARCH
Cross-sectional analysis
ICAPM
Risk aversion
Data: Jul-2011
Resumo: This paper analyzes the risk-return trade-off in European equities considering both temporal and cross-sectional dimensions. In our analysis, we introduce not only the market portfolio but also 15 industry portfolios comprising the entire market. Several bivariate GARCH models are estimated to obtain the covariance matrix between excess market returns and the industrial portfolios and the existence of a risk-return trade-off is analyzed through a cross-sectional approach using the information in all portfolios. It is obtained evidence for a positive and significant risk-return trade-off in the European market. This conclusion is robust for different GARCH specifications and is even more evident after controlling for the main financial crisis during the sample period.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1399
Aparece nas colecções:ISCAL - Comunicações

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
3.pdf144,35 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.