英文文献：Risk-Return Trade-Off for European Stock Markets-欧洲股市的风险回报权衡
英文文献作者：Nektarios Aslanidis,Charlotte Christiansen,Christos S. Savva
英文文献摘要：
This paper adopts dynamic factor models with macro-fi?nance predictors to revisit the intertemporal risk-return relation in ?five large European stock markets. We identify country specifi?c, Euro area, and global factors to determine the conditional moments of returns considering the role of higher-order moments as additional measures of risk. The preferred combination of factors varies across countries. In the linear model, there is a strong but negative relation between conditional returns and conditional volatility. A Markov switching model describes the risk-return trade-off well. A number of variables have explanatory power for the states of the European stock markets.

本文采用宏-fi?的动态因子模型。nance预测器将重新考察欧洲五大股票市场的跨期风险回报关系。我们确定国家的具体情况?c、欧元区和全球因素来确定回报的条件时刻，考虑到高阶时刻作为额外的风险度量的作用。各国偏好的因素组合各不相同。在线性模型中，条件收益率与条件波动率之间存在强而负的关系。马尔可夫转换模型很好地描述了风险-收益平衡。许多变量对欧洲股票市场的状态具有解释力。