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The Risk-Return Tradeoff : = Evidence from a Broad Sample of Developed Markets.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	The Risk-Return Tradeoff :/
Reminder of title:	Evidence from a Broad Sample of Developed Markets.
Author:	Anarkulova, Aizhan.
Description:	1 online resource (94 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 84-10, Section: A.
Contained By:	Dissertations Abstracts International84-10A.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798379423438

The Risk-Return Tradeoff : = Evidence from a Broad Sample of Developed Markets.
Anarkulova, Aizhan.

The Risk-Return Tradeoff :Evidence from a Broad Sample of Developed Markets. - 1 online resource (94 pages)

Source: Dissertations Abstracts International, Volume: 84-10, Section: A.

Thesis (Ph.D.)--The University of Arizona, 2023.

Includes bibliographical references

A positive relation between risk and return is a fundamental tenet of finance. Despite the theoretical prediction of a positive time-series relation between risk and return at the market level, empirical evidence is mixed, with studies finding evidence of positive, negative, or insignificant relations. Due to low test power, using small samples can result in negative or insignificant coefficient estimates on the conditional variance-even when the true relation is positive. I pool data across 33 developed countries, covering almost 2,600 years of market returns, which provides the most comprehensive test to date of the time-series relation of risk and return. Using the full sample of developed country returns, I confirm the fundamental prediction about risk and return: the estimated mean-variance coefficient is positive with strong statistical significance. The regressions with individual country returns yield insignificant results with few exceptions, highlighting the need for an expanded sample.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798379423438Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Risk-return tradeoffIndex Terms--Genre/Form:

554714
Electronic books.

The Risk-Return Tradeoff : = Evidence from a Broad Sample of Developed Markets.
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504 $a Includes bibliographical references
520 $a A positive relation between risk and return is a fundamental tenet of finance. Despite the theoretical prediction of a positive time-series relation between risk and return at the market level, empirical evidence is mixed, with studies finding evidence of positive, negative, or insignificant relations. Due to low test power, using small samples can result in negative or insignificant coefficient estimates on the conditional variance-even when the true relation is positive. I pool data across 33 developed countries, covering almost 2,600 years of market returns, which provides the most comprehensive test to date of the time-series relation of risk and return. Using the full sample of developed country returns, I confirm the fundamental prediction about risk and return: the estimated mean-variance coefficient is positive with strong statistical significance. The regressions with individual country returns yield insignificant results with few exceptions, highlighting the need for an expanded sample.
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653 $a Market level
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