Flight-to-safety and the risk-return trade-off: European evidence
| Autor: | Christos S. Savva, Charlotte Christiansen, Nektarios Aslanidis |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Finance
050208 finance Risk-return trade-off Stock market business.industry Bond Bond market 05 social sciences Social Sciences Monetary economics Trade-off European markets Economics and Business 0502 economics and business Economics 050207 economics business Stock (geology) Quantile Risk return Flight-to-safety |
| Zdroj: | Aslanidis, N, Christiansen, C & Savva, C S 2020, ' Flight-to-Safety and the Risk-Return Trade-Off: European Evidence ', Finance Research Letters, vol. 35, 101294 . https://doi.org/10.1016/j.frl.2019.09.009 |
| DOI: | 10.1016/j.frl.2019.09.009 |
| Popis: | This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off. |
| Databáze: | OpenAIRE |
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