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The risk–return tradeoff among equity factors

dc.contributor.authorBarroso, Pedro
dc.contributor.authorMaio, Paulo
dc.date.accessioned2024-09-18T16:02:50Z
dc.date.embargo2026-08-31
dc.date.issued2024-09
dc.description.abstractWe examine the time-series risk–return tradeoff among equity factors. We obtain a positive tradeoff for profitability and investment factors, which is consistent with the APT. Such relationship subsists when we control by the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain an insignificant risk–return relationship for the market and other factors. The tradeoff is weaker among international equity markets. The out-of-sample forecasting power tends to be economically significant for the investment and profitability factors. Our results suggest that the risk–return tradeoff is stronger within segments of the stock market than for the whole.pt_PT
dc.description.versioninfo:eu-repo/semantics/acceptedVersionpt_PT
dc.identifier.doi10.1016/j.jempfin.2024.101518pt_PT
dc.identifier.eid85202520690
dc.identifier.issn0927-5398
dc.identifier.urihttp://hdl.handle.net/10400.14/46602
dc.identifier.wos001313086200001
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/pt_PT
dc.subjectAsset pricingpt_PT
dc.subjectICAPMpt_PT
dc.subjectProfitability and investment factorspt_PT
dc.subjectRealized volatilitypt_PT
dc.subjectRisk–return tradeoffpt_PT
dc.titleThe risk–return tradeoff among equity factorspt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.titleJournal of Empirical Financept_PT
oaire.citation.volume78pt_PT
rcaap.rightsembargoedAccesspt_PT
rcaap.typearticlept_PT

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