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Tail risks, firm characteristics, and stock returns
Wang, Chen; Xiong, Xiong; Shen, Dehua - In: Pacific-Basin finance journal 75 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013552558
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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Risk Measures and the Impact of Asset Price Bubbles
Jarrow, Robert A. - 2016
This paper analyzes the impact of asset price bubbles on a firm's standard risk measures, including value-at-risk (VaR …) and conditional value-at-risk (CVaR). Comparing a bubble and non-bubble economy, it is shown that asset price bubbles … the standard risk measures is due to the increased right skew in a firm value's distribution due to bubble expansion. The …
Persistent link: https://www.econbiz.de/10013007080
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Skewness and its impact on financial markets
Regele, Tobias Ulrich Joachim - 2015
Persistent link: https://www.econbiz.de/10011443065
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Diminishing marginal myopic loss aversion : a stress test on investment games experiments
Ponti, Giovanni; Tomás, Josefa - In: Journal of economic behavior & organization : JEBO 190 (2021), pp. 125-133
Persistent link: https://www.econbiz.de/10013184084
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Generalized asset pricing : Expected Downside Risk-based equilibrium modeling
Ormos, Mihály; Timotity, Dusán - In: Economic modelling 52 (2016), pp. 967-980
Persistent link: https://www.econbiz.de/10011643117
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Experimental asset markets with an indefinite horizon
Duffy, John; Jiang, Janet Hua; Xie, Huan - 2019
Persistent link: https://www.econbiz.de/10012037790
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Downside risk matters once the lottery effect is controlled : explaining risk-return relationship in the Indian equity market
Ali, Asgar; Badhani, K. N. - In: The journal of asset management : a major new, … 24 (2023) 1, pp. 27-43
Persistent link: https://www.econbiz.de/10013556595
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025
Persistent link: https://www.econbiz.de/10015137989