Flight-to-Safety and the Risk-Return Trade-Off: European Evidence

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  • Nektarios Aslanidis, Universitat Rovira i Virgili, CREIP, Spanien
  • Charlotte Christiansen
  • Christos S. Savva, Cyprus University of Technology, Cypern

This paper investigates flight-to-safety from stocks to bonds in six European markets. We use quantile regressions to identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight-to-safety episodes strengthen the negative trade-off. The effects of flight-to-safety episodes on the trade-off are qualitatively similar for own country flight-to-safety episodes, for flight from own country stock market to the US bond market, and for US flight-to-safety episodes. The strength of the trade-off is strongest for US flight-to-safety episodes. Flight-from-safety has the opposite effect on the trade-off.

OriginalsprogEngelsk
Artikelnummer101294
TidsskriftFinance Research Letters
Vol/bind35
Antal sider6
ISSN1544-6123
DOI
StatusUdgivet - jul. 2020

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