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Stock Returns and Risk: Evidence from QuantileDOI: 10.3390/jrfm5010020 Keywords: Risk-return tradeoff, Volatility, Intraday skewness, Quantile Regression, High-frequency data Abstract: 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.
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