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- W2887095162 abstract "This paper tests the risk-return relations for Asian stock markets by employing conditional volatility, local downside risk, regional downside risk, and world/U.S. downside risk. We find positive and significant intertemporal relations between excess stock returns and various risks. The evidence supports the risk-return tradeoff not only from local risk but also from external risk. The model is robust as it pertains to the risk of small variations as well as big shocks. The evidence supports positive risk-return relations across 10 Asian markets after controlling for the lagged dividend yield, higher moments of stock returns, and exchange rate variations." @default.
- W2887095162 created "2018-08-22" @default.
- W2887095162 creator A5039525186 @default.
- W2887095162 date "2019-01-01" @default.
- W2887095162 modified "2023-10-17" @default.
- W2887095162 title "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets" @default.
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- W2887095162 doi "https://doi.org/10.1016/j.ribaf.2018.08.003" @default.
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