A fresh look at the risk-return tradeoff

Cindy S.H. Wang, Yi Chi Chen, Hsin Yu Lo

研究成果: Review article同行評審

1 引文 斯高帕斯(Scopus)

摘要

This research takes a different approach to examining the international risk-return tradeoff nexus from an econometrician's viewpoint. We study this tradeoff based on returns from 28 countries, covering a wide range of advanced and emerging markets. In contrast to the existing literature, we conduct panel data analysis that allows for cross-sectional dependence, along with the fixed-effects pooled OLS method that can produce consistent estimators. Empirical results show that the proposed approach could be a practical guide for investment portfolio, because of (i) the positive risk-return relation for both advanced and emerging economies, especially when it is associated with the business cycle, and (ii) the convincing out-of-sample forecasts by the fixed-effects pooled panel predictions.

原文English
文章編號101546
期刊Pacific Basin Finance Journal
68
DOIs
出版狀態Published - 2021 九月

All Science Journal Classification (ASJC) codes

  • 金融
  • 經濟學與計量經濟學

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