Is the Effect of Risk on Stock Returns Different in Up and Down Markets? A Multi-Country Study
Several empirical studies in finance have examined whether or not the risk associated with any stock market responds differently in two different states of the stock market, especially in bull and bear markets. This paper studies this problem through a model where (i) the conditional mean specifi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2016-09-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/24110112.pdf |