The Empirical Risk-Return Relation: A Factor Analysis Approach
نویسندگان
چکیده
منابع مشابه
empirical relation between risk, return and liquidity with free float in tse listed companies
based on current expectations, when the free float is more, more deals done and consequently the share price volatility will also increase. shareholders expect more profits from stocks which have more free floats. this paper examines the kind of relationship between free float and liquidity, risks and returns and the degree of influence of these variables in the percentage of free float. we con...
متن کاملCurrency Total Return Swaps : Valuation and Risk Factor Analysis ∗
∗Corresponding author: Pascal François, HEC Montreal, Department of Finance, 3000 Cote-SteCatherine, H3T 2A7 Montreal, Canada. Mail to: [email protected]. We thank ING for kindly providing us with CTRS data, and Laurent Bodson for excellent research assistance. Financial supports from SSHRC (François) and Deloitte Luxemburg (Hübner) are gratefully acknowledged. All remaining errors are ours.
متن کاملBond Portfolio Optimization: A Risk-Return Approach
In this paper, we apply Markowitz’s approach of portfolio selection to government bond portfolios. As a main feature of our analysis, we use term structure models to estimate expected returns, return variances, and covariances of different bonds. Our empirical study for the German market shows that a small number of risky bonds is sufficient to reach very promising predicted risk-return profile...
متن کاملWhat is the Shape of the Risk-Return Relation?†
Using a novel and flexible regression approach that avoids imposing restrictive modeling assumptions, we find evidence of a nonmonotonic relation between conditional volatility and expected stock market returns. At low and medium levels of conditional volatility there is a positive risk-return trade-off, but this relation is inverted at high levels of volatility. This finding helps explain the ...
متن کاملSkewness and the Relation Between Risk and Return
The relationship between risk and return has been one of the most important and extensively investigated issues in the financial economics literature. The theoretical results predict a positive relation between the two. Nevertheless, the empirical findings so far have been contradictory. Evidence presented in this paper show that these contradictions are the result of negative skewness in the d...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.755066