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The Role of U.S. Market on International Risk-Return Tradeoff Relations

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  • Licheng Sun
  • Liang Meng
  • Mohammad Najand

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  • Licheng Sun & Liang Meng & Mohammad Najand, 2017. "The Role of U.S. Market on International Risk-Return Tradeoff Relations," The Financial Review, Eastern Finance Association, vol. 52(3), pages 499-526, August.
    • Handle: RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526
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    File URL: http://hdl.handle.net/10.1111/fire.2017.52.issue-3
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    References listed on IDEAS

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    3. Nyberg, Henri, 2012. "Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(1), pages 137-158, February.
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    5. Ľuboš Pástor & Meenakshi Sinha & Bhaskaran Swaminathan, 2008. "Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital," Journal of Finance, American Finance Association, vol. 63(6), pages 2859-2897, December.
    6. Hui Guo & Robert F. Whitelaw, 2006. "Uncovering the Risk–Return Relation in the Stock Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, June.
    7. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
    8. Bollerslev, Tim & Marrone, James & Xu, Lai & Zhou, Hao, 2014. "Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(3), pages 633-661, June.
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    15. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
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    21. David E. Rapach & Jack K. Strauss & Guofu Zhou, 2013. "International Stock Return Predictability: What Is the Role of the United States?," Journal of Finance, American Finance Association, vol. 68(4), pages 1633-1662, August.
    22. Lanne, Markku & Saikkonen, Pentti, 2006. "Why is it so difficult to uncover the risk-return tradeoff in stock returns?," Economics Letters, Elsevier, vol. 92(1), pages 118-125, July.
    23. Lundblad, Christian, 2007. "The risk return tradeoff in the long run: 1836-2003," Journal of Financial Economics, Elsevier, vol. 85(1), pages 123-150, July.
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    Cited by:

    1. Liu, Jingzhen, 2019. "Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies," Research in International Business and Finance, Elsevier, vol. 48(C), pages 243-257.
    2. Wang, Wenzhao, 2018. "Investor sentiment and the mean-variance relationship: European evidence," Research in International Business and Finance, Elsevier, vol. 46(C), pages 227-239.
    3. Kang, Yong Joo & Park, Dojoon & Eom, Young Ho, 2024. "Global contagion of US COVID-19 panic news," Emerging Markets Review, Elsevier, vol. 59(C).

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