We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …

risk is a nonlinear function of market volatility …

risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial … performance did not significantly affect the systematic risk of the company's stock …

describing risk-return relation of Croatian stocks. This paper shows that the Fama-French three-factor model is a valid pricing … comparison to the CAPM. In the case of Croatian stock market, size and B/M factors are not always significant, but on average … missed by the market factor. Moreover, B/M factor has shown as a stronger common risk proxy in relation to size factor …

This paper investigates the risk-return relations in Chinese equity markets. Based on a TARCH-M model, evidence shows … that stock returns are positively correlated with predictable volatility, supporting the risk-return relation in both … aggregate and sectoral markets. Evidence finds a positive relation between stock return and intertemporal downside risk, while …

This paper adopts factor models with macro-finance predictors to test the intertemporal risk-return relation for 13 … conditional volatility and return to determine the risk-return relationship. We find that the risk-return trade-off is generally … the economy, but not the business cycles. Quantile regressions show that the risk-return trade-off is stronger at the …

, Roll and Ross (1986) for the U.S. stock market, their model is not successful when describing a risk-return relation of …, two risk factors in that version of the model were statistically significant: default premium, measured as risk premium …