State-dependent intertemporal risk-return tradeoff: Further evidence

IF 3.3 Q1 BUSINESS, FINANCE
Surya Chelikani , Joseph M. Marks , Kiseok Nam
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引用次数: 0

Abstract

We suggest that the intertemporal risk-return tradeoff is not necessarily positive but rather state dependent. We further explore the state dependent risk-return relation by examining how the positive risk-return relation is distorted in response to various market conditions, including extreme price changes, differing levels of investor sentiment, the introduction of stock options, and throughout business cycles. The tendency for uninformed investors to be optimistic (pessimistic) in response to good (bad) market news cause overpricing (underpricing), and the resulting trade activity of arbitrageurs that distorts the positive risk-return tradeoff, is documented consistently across these environments. We find that the attenuation (reinforcement) of the positive risk-return relation under investors’ optimistic (pessimistic) expectations is stronger in high (low) sentiment periods, in the presence of extreme returns, in the period after stock options became available, and during expansionary periods. We argue that the asymmetric intertemporal risk-return relation is a consequence of rational arbitrageurs’ trading to exploit mispricing through the selling of overpriced stocks conditional on good news and buying underpriced stocks conditional on bad news.

取决于国家的跨期风险收益权衡:进一步证据
我们认为,跨期风险收益权衡并不一定是正向的,而是取决于状态。我们进一步探讨了与状态相关的风险收益关系,研究了正向的风险收益关系是如何在各种市场条件下被扭曲的,包括极端的价格变化、不同程度的投资者情绪、股票期权的引入以及整个商业周期。在这些环境下,不明真相的投资者对市场利好(利空)消息的乐观(悲观)倾向会导致定价过高(定价过低),套利者的交易活动也会因此而扭曲正向的风险收益权衡。我们发现,在投资者的乐观(悲观)预期下,风险收益正相关关系在情绪高涨(情绪低落)时期、出现极端收益时、股票期权推出后以及经济扩张时期的衰减(强化)程度更大。我们认为,非对称的跨期风险-收益关系是理性套利者交易的结果,他们利用错误定价,在利好消息时卖出定价过高的股票,在利空消息时买入定价过低的股票。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.20
自引率
2.60%
发文量
31
期刊介绍: Journal of Economics and Business: Studies in Corporate and Financial Behavior. The Journal publishes high quality research papers in all fields of finance and in closely related fields of economics. The Journal is interested in both theoretical and applied research with an emphasis on topics in corporate finance, financial markets and institutions, and investments. Research in real estate, insurance, monetary theory and policy, and industrial organization is also welcomed. Papers that deal with the relation between the financial structure of firms and the industrial structure of the product market are especially encouraged.
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