protected notes (EL-PAM-PPNs) and the mean return and volatility of the underlying portfolio using 1568 EL-PAM-PPNs issued in … the UK and Canada between 2003 and 2015. We find that: (i) the underlying portfolio’s mean return decreases the note … holding cost; (ii) the underlying portfolio’s volatility increases the note return and decreases the note holding cost; (iii …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

volatility, the volatility feedback theory implies a channel that allows the conditional volatility to negatively affect the … expected return. We examine the effects of the risk return trade-off and the volatility feedback in a model where both the … return and its volatility are influenced by news arrivals. Our empirical analysis shows that the two effects have …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

findings support the arguments of risk return tradeoff, volatility feedback and statistical balance. It is reasoned that the …

series from 21 international market indices, the findings support the predictions of the risk premium, volatility feedback … and statistical balance. However, little support is found for the short-memory-volatility-component risk premium. It is …

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …