Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2012
We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return … shows that both ?financial effects increase significantly during crises. Strikingly, the risk-return tradeoff is … international stock markets confirm the increase in the leverage effect, whereas the international evidence on the risk-return …