This paper studies the risk-return tradeoff in some of the main emerging stock markets in the world. Although previous … non-linear framework between return and risk is considered. However, this relationship between return and risk is … observations in a Regime Switching-GARCH framework, I show favorable evidence in most of the emerging markets during low volatility …

We investigate the risk-return trade-off on the US and European stock markets. We investigate the non-linear risk … market portfolio. We find that the risk-return trade-off is significantly positive at the upper tail (0.9 quantile), where …, for the median (0.5 quantile), the risk-return trade-off is insignificant. These results are recovered for the US industry …