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From time varying risk-aversion and sentiment to anomalies in market moments' risk premia

Bams, Dennis; Honarvar, Iman; Lehnert, Thorsten - 2015

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The impact of uncertainty in the oil and gold market on the cross-section of stock returns

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Skewness term structure tests

Lin, Yuehao; Lehnert, Thorsten - 2014

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Skewness risk premium : theory and empirical evidence

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Coût du risque et risques interactifs

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Which shape for the cost curve of risk?

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From Time Varying Risk-Aversion to Anomalies in Market Moments’ Risk Premia

Bams, Dennis - 2015

Previous studies on the cross-sectional market moments' risk premia find significantly negative risk premia for the … market volatility and the market skewness risks and a positive premium for the market kurtosis risk. However, a significantly … negative price of risk for the market skewness and a positive price of risk for the market kurtosis move against the ICAPM …

Persistent link: https://www.econbiz.de/10013011646

Skewness term-structure tests

Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504

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Skewness risk premium : theory and empirical evidence

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Dual moments and risk attitudes

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