英文标题：
《The non-linear trade-off between return and risk: a regime-switching
multi-factor framework》
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作者：
John Cotter and Enrique Salvador
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最新提交年份：
2014
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英文摘要：
This study develops a multi-factor framework where not only market risk is considered but also potential changes in the investment opportunity set. Although previous studies find no clear evidence about a positive and significant relation between return and risk, favourable evidence can be obtained if a non-linear relation is pursued. The positive and significant risk-return trade-off is essentially observed during low volatility periods. However, this relationship is not obtained during periods of high volatility. Also, different patterns for the risk premium dynamics in low and high volatility periods are obtained both in prices of risk and market risk dynamics.
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中文摘要：
本研究建立了一个多因素框架，不仅考虑了市场风险，还考虑了投资机会集的潜在变化。尽管之前的研究没有发现明确的证据表明回报和风险之间存在积极而显著的关系，但如果追求非线性关系，则可以获得有利的证据。在低波动期，基本上可以观察到正向和显著的风险回报权衡。然而，这种关系在高波动期间无法得到。同时，从风险价格和市场风险动态两个方面得出了低波动期和高波动期风险溢价动态的不同模式。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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