Salvador, Enrique; Floros, Christos; Arago, Vicent - In: Journal of Empirical Finance 28 (2014) C, pp. 60-77
This paper analyzes the risk–return trade-off in Europe using recent data from 11 European stock markets. After … relaxing the linear assumptions in the risk–return relationship by introducing a new approach that considers the current state … of the market, we obtain significant evidence for a positive risk–return trade-off for low volatility states. However …