Stock Returns and Risk: Evidence from Quantile

Thomas C. Chiang and Jiandong Li
Additional contact information
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

JRFM, 2012, vol. 5, issue 1, 1-39

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 (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
https://www.mdpi.com/1911-8074/5/1/20/pdf (application/pdf)
https://www.mdpi.com/1911-8074/5/1/20/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jjrfmx:v:5:y:2012:i:1:p:20-58:d:28408

Access Statistics for this article

JRFM is currently edited by Ms. Chelthy Cheng

More articles in JRFM from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().