... cycles Risk-return relationship Associated with interlinked macro-economic and capital market crises with severe disruptions in credit markets, there can be “flight to quality” and/or “flight to liquidity” among market participants. Such episodes are associated with falling asset values...

... cross‐sectional regressions, the paper assesses whether excess return on a security is directly proportional to the security's beta. The paper also incorporates the total variance of securities and the squared value of beta to capture idiosyncratic risk and the nonlinear risk‐return relationship...