dc.contributor.author | León, Angel | |
dc.contributor.author | Nave, Juan | |
dc.contributor.author | Rubio Irigoyen, Gonzalo | |
dc.date.accessioned | 2012-02-06T13:11:50Z | |
dc.date.available | 2012-02-06T13:11:50Z | |
dc.date.issued | 2005-01 | |
dc.identifier.issn | 1988-088X | |
dc.identifier.uri | http://hdl.handle.net/10810/6728 | |
dc.description | Revised: 2006-07 | es |
dc.description.abstract | We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between risk and expected return. This strongly contrasts with the result we obtain when we employ both symmetric and asymmetric GARCH models for conditional variance. We also find that asymmetric specifications of the variance process within the MIDAS framework improve the relationship between risk and expected return. Finally, we introduce bivariate MIDAS and find some evidence of significant pricing of the hedging component for the intertemporal riskreturn trade-off. | es |
dc.description.sponsorship | The authors acknowledge financial support from Fundación BBVA research grant 1-BBVA 00044.321-15466/2002. | es |
dc.language.iso | eng | es |
dc.publisher | University of the Basque Country, Department of Foundations of Economic Analysis II | es |
dc.relation.ispartofseries | DFAEII 2005.08 | |
dc.rights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | * |
dc.subject | risk-return trade-off | es |
dc.subject | hedging component | es |
dc.subject | MIDAS | es |
dc.subject | conditional variance | es |
dc.title | The Relationship between Risk and Expected Return in Europe | es |
dc.type | info:eu-repo/semantics/workingPaper | es |
dc.rights.holder | Attribution-NonCommercial-ShareAlike 3.0 Unported | * |
dc.subject.jel | G12 | |
dc.subject.jel | C22 | |
dc.identifier.repec | RePEc:ehu:dfaeii:200508 | es |
dc.departamentoes | Fundamentos del análisis económico II | es_ES |
dc.departamentoeu | Ekonomia analisiaren oinarriak II | es_ES |
dc.subject.categoria | FINANCIAL ECONOMICS | |
dc.subject.categoria | ECONOMICS, ECONOMETRICS AND FINANCE | |
dc.subject.categoria | MATHEMATICAL AND QUANTITATIVE METHODS | |