Chen, Jieting; Kawaguchi, Yuichiro - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-19
This paper proposes a Markov regime-switching asset-pricing model and investigates the asymmetric risk-return … a positive risk-return relationship holds in regime 1. On the contrary, in regime 2, when lower risk premiums could be … used to be known as “good” stocks were much riskier in a bull market. Thus, a risk-return relationship followed other …