Search Results - subject:"Aggregate relative risk aversion"

Return predictability and stock market crashes in a simple rational expectation models

Franke, Günter; Lüders, Erik - 2006

-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in … fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and …

Persistent link: https://www.econbiz.de/10010266923

Return predictability and stock market crashes in a simple rational expectations model

Lüders, Erik; Franke, Günter - 2005

risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to predictability … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in … fundamentals so that asset prices may strongly decline. Changes in aggregate relative risk aversion may also lead to resistance and …

Persistent link: https://www.econbiz.de/10010266946

Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model¤

Franke, Günter; Lüders, Erik - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2006

Persistent link: https://www.econbiz.de/10005357879

Return Predictability and Stock Market Crashes in a Simple Rational Expectations Model

Franke, Günter; Lüders, Erik - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2005

Persistent link: https://www.econbiz.de/10005738870