%0 Journal Article
%T Stock Returns and Risk: Evidence from Quantile
%A Thomas C. Chiang
%A Jiandong Li
%J Journal of Risk and Financial Management
%D 2012
%R 10.3390/jrfm5010020
%X 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.
%K Risk-return tradeoff
%K Volatility
%K Intraday skewness
%K Quantile Regression
%K High-frequency data
%U http://www.mdpi.com/1911-8074/5/1/20