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Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - 2001

Persistent link: https://www.econbiz.de/10001603816

Aït-Sahalia, Yacine; Parker, Jonathan A.; Yogo, Motohiro - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2959-3004

Persistent link: https://www.econbiz.de/10002504180

Luxury Goods and the Equity Premium

Ait-Sahalia, Yacine - 2001

This paper evaluates the return on equity using novel data on the consumption of luxury goods. Specifying household utility as a nonhomothetic function of the consumption of both a luxury good and a basic good, we derive and evaluate the riskiness of equity in such a world. Household survey and...

Persistent link: https://www.econbiz.de/10012470302

Behavioral preferences and beliefs in asset pricing

Gertsman, Gleb - 2023

Persistent link: https://www.econbiz.de/10014285188

Habit persistence reduces risk aversion

Gollier, Christian - In: The Geneva papers on risk and insurance - issues and … 46 (2021) 2, pp. 214-223

Persistent link: https://www.econbiz.de/10012522978

State dependence of aggregated risk aversion : evidenve for the German stock market

Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of applied economics 17 (2014) 2, pp. 257-281

Persistent link: https://www.econbiz.de/10011554687

The time-varying nature of risk aversion : evidence from 60 years of U.S. stock market data

Pépin, Dominique; Miller, Stephen M. - 2020

Persistent link: https://www.econbiz.de/10012391037

News and expected returns in East Asian equity markets : the RV-GARCHM model

Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52

Persistent link: https://www.econbiz.de/10012102777

Downside risk in the oil market : does it affect stock returns in China?

Su, Zhi; Mo, Xuan; Yin, Libo - In: Emerging markets, finance & trade : a journal of the … 57 (2021) 11, pp. 3139-3152

Persistent link: https://www.econbiz.de/10012607465

Risk, ambiguity, and equity premium : international evidence

Kim, Eung-Bin; Byun, Suk Joon - In: International review of economics & finance : IREF 76 (2021), pp. 321-335

Persistent link: https://www.econbiz.de/10013175824