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 …

controlling for sentiment and liquidity. This study suggests that the U.S. stress risk or the world downside risk should be priced …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 …

Diversification of financial securities is considered a substantial element of portfolio risk. In this context, the … construction of an optimal portfolio is an ongoing concern for portfolio managers. This study measures the risk-reward tradeoffs … risk for DAX, MDAX, and CAC40 decreases from joining a common hypothetical stock market, while for FTSE100, FTSE MIB, and …