| dc.contributor.author | Barroso, Pedro | |
| dc.contributor.author | Maio, Paulo | |
| dc.date.accessioned | 2024-09-10T10:49:34Z | |
| dc.date.available | 2024-09-10T10:49:34Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | We examine the time-series risk-return trade-off among equity factors. We obtain a positive tradeoff for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton’s ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor risk-return trade-off tends to be weaker among international equity markets. The out-of-sample forecasting power (of factor variances for future own returns) tends to be economically significant for the investment and profitability factors. Our results suggest that the risk-return trade-off is stronger within segments of the stock market than for the whole. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.doi | 10.2139/ssrn.2909085 | pt_PT |
| dc.identifier.issn | 1556-5068 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/46435 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | SSRN | pt_PT |
| dc.subject | Asset pricing | pt_PT |
| dc.subject | Risk-return tradeoff | pt_PT |
| dc.subject | ICAPM | pt_PT |
| dc.subject | Realized volatility | pt_PT |
| dc.subject | Profitability and investment factors | pt_PT |
| dc.title | The risk-return tradeoff among equity factors | pt_PT |
| dc.type | preprint | |
| dspace.entity.type | Publication | |
| oaire.citation.title | SSRN Electronic Journal | pt_PT |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | preprint | pt_PT |
