scholarly journals The Time-Varying Risk Return Tradeoff in the Long-Run

2012 ◽  
Author(s):  
Sungjun Cho
Keyword(s):  
Time Varying ◽  
Risk Return ◽  
Long Run

scholarly journals Time-Varying Risk and the Relation between Idiosyncratic Risk and Stock Return

2021 ◽  
Vol 14 (9) ◽  
pp. 432
Author(s):  
Chengbo Fu
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Idiosyncratic Risk ◽  
Point Of View ◽  
Time Varying ◽  
Total Risk ◽  
Risk Return ◽  
Long Run ◽  
Book To Market Ratio ◽  
The 1960S

This paper studies the historical time-varying dynamics of risk for individual stocks in the U.S. market. Total risk of an individual stock is decomposed into two components, systematic risk and idiosyncratic risk, and both components are studied separately. We start from the historical trend in the magnitude of risk and then turn to the relation between idiosyncratic risk and stock returns. The result shows that both components of risk for individual stocks are changing over time. They increased from the 1960s to the 1990s/2000s and then declined until today. This paper also studies the risk-return tradeoff by investigating the relation between idiosyncratic risk and stock return in the long run. Stocks are sorted into portfolios for analysis and the whole sample period is further decomposed into decades for subgroup analysis. Multivariable regressions are used to study this relation as we control for beta, size, book-to-market ratio, momentum and liquidity. From a historical point of view, we show that the relation between idiosyncratic risk and stock return is time-varying, and it did not exist in certain decades. The results indicate that the risk-return tradeoff also varied in history.

scholarly journals Multi-Horizon Dependence between Crude Oil and East Asian Stock Markets and Implications in Risk Management

Energies ◽  
2020 ◽  
Vol 13 (2) ◽  
pp. 294 ◽  
Author(s):  
Xiaojing Cai ◽  
Shigeyuki Hamori ◽  
Lu Yang ◽  
Shuairu Tian
Keyword(s):  
Risk Management ◽  
Crude Oil ◽  
Stock Markets ◽  
East Asian ◽  
Tail Dependence ◽  
Dependence Structure ◽  
Time Varying ◽  
Risk Hedging ◽  
Long Run ◽  
East Asian Stock Markets

This paper examines the dynamic dependence structure of crude oil and East Asian stock markets at multiple frequencies using wavelet and copulas. We also investigate risk management implications and diversification benefits of oil-stock portfolios by calculating and comparing risk and tail risk hedging performance. Our results provide strong evidence of time-varying dependence and asymmetric tail dependence between crude oil and East Asian stock markets at different frequencies. The level and fluctuation of their dependencies increase as time scale increases. Furthermore, we find the time-varying hedging benefits differ at investment horizons and reduced over the long run. Our results suggest that crude oil could be used as a hedge and safe haven against East Asian stock markets, especially in the short- and mid-term.

From education to democracy: evidence from long-run time-varying estimates

2017 ◽  
Vol 64 (4) ◽  
pp. 313-325
Author(s):  
Nicholas Apergis ◽  
James E. Payne
Keyword(s):  
Time Varying ◽  
Long Run ◽  
Run Time

On the convergence of evolution processes with time-varying mutations and local interaction

2001 ◽  
Vol 38 (2) ◽  
pp. 301-323 ◽  
Author(s):  
Hsiao-Chi Chen ◽  
Yunshyoung Chow
Keyword(s):  
Nash Equilibrium ◽  
Dynamic System ◽  
Convergence Rates ◽  
Evolutionary Model ◽  
Coordination Game ◽  
Local Interaction ◽  
Mutation Rates ◽  
Time Varying ◽  
Long Run ◽  
Long Run Equilibrium

This paper analyzes players’ long-run behavior in an evolutionary model with time-varying mutations under both uniform and local interaction rules. It is shown that a risk-dominant Nash equilibrium in a 2 × 2 coordination game would emerge as the long-run equilibrium if and only if mutation rates do not decrease to zero too fast under both interaction methods. The convergence rates of the dynamic system under both interaction rules are also derived. We find that the dynamic system with local matching may not converge faster than that with uniform matching.

scholarly journals Conditional risk–return relationship in a time-varying beta model

2008 ◽  
Vol 8 (4) ◽  
pp. 381-390 ◽  
Author(s):  
Peng Huang ◽  
C. James Hueng
Keyword(s):  
Time Varying ◽  
Risk Return ◽  
Conditional Risk

The risk return tradeoff in the long run: 1836–2003

2007 ◽  
Vol 85 (1) ◽  
pp. 123-150 ◽  
Author(s):  
Christian Lundblad
Keyword(s):  
Risk Return ◽  
Long Run

scholarly journals COVID-19 and output in Japan

2021 ◽  
Author(s):  
Daisuke Fujii ◽  
Taisuke Nakata
Keyword(s):  
Policy Response ◽  
Time Varying ◽  
State Of Emergency ◽  
Unique Role ◽  
Varying Parameters ◽  
Output Loss ◽  
Long Run ◽  
Time Varying Parameters ◽  
Short Run ◽  
Model Based Analysis

AbstractWe build a tractable SIR-macro-model with time-varying parameters and use it to explore various policy questions such as when to lift the state of emergency (SOE). An earlier departure from the SOE results in smaller output loss and more deaths in the short run. However, if the SOE is lifted too early, the number of new cases will surge and another SOE may need to be issued in the future, possibly resulting in both larger output loss and more deaths. That is, the tradeoff between output and infection that exists in the short run does not necessarily exist in the long run. Our model-based analysis—updated weekly since January 2021, frequently reported by media, and presented to policymakers on many occasions—has played a unique role in the policy response to the COVID-19 crisis in Japan.

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