This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The evidence also suggests that intraday skewness plays a dominant role in explaining the variations of excess returns.
CITATION STYLE
Chiang, T., & Li, J. (2012). Stock Returns and Risk: Evidence from Quantile. Journal of Risk and Financial Management, 5(1), 20–58. https://doi.org/10.3390/jrfm5010020
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