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This is a Quantitative Study study.

The Risk-retern Tradeoff among Equity Factors: Evidence from A-share Market

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Time-series analysis reveals a significant risk-return tradeoff for size and value factors, suggesting implications for equity investment strategies.

A significant positive risk-return tradeoff exists for size and value factors, confirming predictions of Arbitrage Pricing Theory.
Robustness checks affirm findings; the relationship remains strong after accounting for market factor covariance.
The market factor shows an insignificant risk-return tradeoff, contrasting with the behavior of size and value factors.
This study enriches the theoretical framework of dynamic asset pricing by validating intertemporal risk-return relationships.

Shuyu Kong (2025) studied this question.

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View Full Paper

Ask AI

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Authors

Time-series analysis reveals a significant risk-return tradeoff for size and value factors, suggesting implications for equity investment strategies.

A significant positive risk-return tradeoff exists for size and value factors, confirming predictions of Arbitrage Pricing Theory.
Robustness checks affirm findings; the relationship remains strong after accounting for market factor covariance.
The market factor shows an insignificant risk-return tradeoff, contrasting with the behavior of size and value factors.
This study enriches the theoretical framework of dynamic asset pricing by validating intertemporal risk-return relationships.

Shuyu Kong (2025) studied this question.

View Full Paper

Ask AI

Bookmark