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Details van artikel 17 van 36 gevonden artikelen
| Titel: |
Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach |
| Auteur: |
Loudon, Geoffrey F. |
| Verschenen in: |
Applied financial economics |
| Paginering: | Jaargang 16 (2006) nr. 13 pagina's 981-992 |
| Jaar: |
2006-09-01 |
| Inhoud: |
Existing evidence on the relation between risk and return is conflicting. This evidence is extended by estimating a stochastic volatility in mean model using equity returns from a mix of ten emerging and five developed markets. Results suggest that while the relation is significantly positive for China and significantly negative for Australia, it is insignificant for the remaining markets studied. Findings also vary across subperiods related to the Asian financial crisis of 1997 to 1998. Model estimates identify some important differences across these markets in the nature of volatility in terms of its own volatility, persistence and predictability. |
| Uitgever: |
Routledge |
| Bronbestand: |
Elektronische Wetenschappelijke Tijdschriften |
Details van artikel 17 van 36 gevonden artikelen
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