Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets

Thomas C. Chiang

Research in International Business and Finance, 2019, vol. 47, issue C, 264-278

Abstract: This paper tests the risk-return relations for Asian stock markets by employing conditional volatility, local downside risk, regional downside risk, and world/U.S. downside risk. We find positive and significant intertemporal relations between excess stock returns and various risks. The evidence supports the risk-return tradeoff not only from local risk but also from external risk. The model is robust as it pertains to the risk of small variations as well as big shocks. The evidence supports positive risk-return relations across 10 Asian markets after controlling for the lagged dividend yield, higher moments of stock returns, and exchange rate variations.

Keywords: Downside risk; Value-at-risk; GARCH-M model; Risk-return; Asian market (search for similar items in EconPapers)
JEL-codes: G11 G12 G15 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278

DOI: 10.1016/j.ribaf.2018.08.003

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