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The Non-Linear Trade-Off between Return and Risk: A Regime-Switching Multi-Factor Framework

https://doi.org/10.2139/ssrn.2513282
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The cost of carry model and regime shifts in stock index futures markets: An empirical investigation
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No news is good news
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Intertemporal asset pricing
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THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation,…
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The relationship between risk and expected return in Europe
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Unfolded risk-return trade-offs and links to Macroeconomic Dynamics
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Regime switches in the risk–return trade-off
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Estimating the market risk premium
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There is a risk-return trade-off after all
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The empirical risk–return relation: A factor analysis approach☆
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The risk return tradeoff in the long run: 1836–2003
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The intertemporal relation between expected returns and risk
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A five-factor asset pricing model
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The specification of conditional expectations
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Illiquidity and stock returns: cross-section and time-series effects
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Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle
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ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
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Persistence in Variance, Structural Change, and the GARCH Model
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Theoretical Relations Between Risk Premiums and Conditional Variances
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Macro-Finance
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Idiosyncratic Risk Matters!
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STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE
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CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
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Option‐Implied Risk Aversion Estimates
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Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing
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The Cross‐Section of Volatility and Expected Returns
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Naive Diversification Strategies in Defined Contribution Saving Plans
inferredcites →https://doi.org/10.2139/ssrn.1364750openalex-extracted
What is the Shape of the Risk-Return Relation?
inferredcites →https://doi.org/10.2139/ssrn.219228openalex-extracted
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The VIX, the Variance Premium and Stock Market Volatility
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The Risk-Return Relationship and Financial Crises
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Trading Volume: Implications of an Intertemporal Capital Asset Pricing Model
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Investor Sentiment and the Cross-Section of Stock Returns
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On the Dynamic Relation between Returns and Idiosyncratic Volatility
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Is the Value Premium a Proxy for Time-Varying Investment Opportunities: Some Time Series Evidence
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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An Intertemporal Capital Asset Pricing Model
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Stock Returns and Volatility
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Risk Premia and the Dynamic Covariance between Stock and Bond Returns
inferredcites →https://doi.org/10.3386/w11477openalex-extracted
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Stock Returns and the Term Structure
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Comoment risk and stock returns
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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach
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Business Cycle Variation in the Risk-Return Trade-Off
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
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Uncovering the Risk-Return Relation in the Stock Market

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives
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Central bank policy rate announcements and high-frequency intra-day benchmark stock returns reaction dynamics: Evidence from South Africa
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Does US Financial Stress Explain Risk–Return Dynamics in Indian Equity Market? A Logistic Regression Approach
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Term structure of risk factor premiums: evidence from international equity markets
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Understanding Negative Risk-Return Trade-offs
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Multi-Factor Asset-Pricing Models under Markov Regime Switches: Evidence from the Chinese Stock Market
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