Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time‐varying Transition Probability Models
用风险价值（VaR）衡量下行风险，发现五个发达市场在2008年金融危机前风险与预期收益正相关，危机后转为负相关；两状态马尔可夫区制转移模型表明不确定性上升时关系变负，有助于解释符号矛盾。
Abstract This paper examines the intertemporal relationship between downside risks and expected stock returns for five advanced markets. Using Value‐at‐Risk (VaR) as a measure of downside risk, we find a positive and significant relationship between VaR and the expected return before the world financial crisis (September 2008). However, when we estimate the model using a sample after this date, the results show a negative risk–return relationship. Evidence from a two‐state Markov regime‐switching model indicates that as uncertainty rises, the sign of the risk–return relationship turns negative. Evidence suggests that the Markov regime‐switching model helps to resolve the conflicting signs in the risk–return relationship.