期刊名称：International Journal of Economics and Financial Issues
电子版ISSN：2146-4138
出版年度：2016
卷号：6
期号：2
页码：551-561
语种：English
出版社：EconJournals
摘要：While investigating the role of age effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns, this research study employs monthly data from Pakistani stock market for the period from 1998 to 2012. For this purpose, three generalized autoregressive conditional heteroskedasticity models were functioned: GARCH-M for risks-return tradeoff, GARCH (1, 1) for capturing different volatility dynamics and EGARCH for asymmetric and leverage effect. This study rests on the following outcomes. Firstly, we unravel that age effect is flag rising in the debate of risks-return tradeoff. Secondly, in the course of exploring whether the firm age matters from the context of asymmetry and leverage effect, we find that it is certainly the case. Thirdly, age effect holds considerable role in determining various volatility dynamics. Finally, we expose that macroeconomic variables affect stock returns differently depending upon firm age, signifying the role of age effect. Keywords : firm age, risks-return trade-off, volatility dynamic and macroeconomic exposure. JEL Classifications : G10, G11, G12
其他摘要：While investigating the role of age effect in detecting the risks-return tradeoff, various volatility dynamics and macroeconomic exposure of firm returns, this research study employs monthly data from Pakistani stock market for the period from 1998 to 2012. For this purpose, three generalized autoregressive conditional heteroskedasticity models were functioned: GARCH-M for risks-return tradeoff, GARCH (1, 1) for capturing different volatility dynamics and EGARCH for asymmetric and leverage effect. This study rests on the following outcomes. Firstly, we unravel that age effect is flag rising in the debate of risks-return tradeoff. Secondly, in the course of exploring whether the firm age matters from the context of asymmetry and leverage effect, we find that it is certainly the case. Thirdly, age effect holds considerable role in determining various volatility dynamics. Finally, we expose that macroeconomic variables affect stock returns differently depending upon firm age, signifying the role of age effect. Keywords : firm age, risks-return trade-off, volatility dynamic and macroeconomic exposure. JEL Classifications : G10, G11, G12
