Showing 31 - 40 of 74,091
A stochastic solution is proposed for a general problem of demand for risks with both value-maximizing firms and risk averse agents. Explicit solutions are possible for both models when the interesting risk is perceived to be fairly-priced by the two decision makers
Persistent link: https://www.econbiz.de/10013028600
We study the relationship between stock market return expectations and risk aversion of individuals and test whether the joint effects arising from the interaction of these two variables affect investment decisions. Using data from the Dutch National Bank Household Survey, we find that risk...
Persistent link: https://www.econbiz.de/10013034230
We study optimal portfolio choice and equilibrium asset prices induced by alpha-maxmin expected utility (alpha-MEU) models. In the standard Ellsberg framework we prove that alpha-MEU preferences are equivalent to either maxmin, maxmax or subjective expected utility (SEU). We show how ambiguity...
Persistent link: https://www.econbiz.de/10013035352
We confront the generalized recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) with data using Bayesian methods introduced by Gallant and McCulloch (2009) to close two existing gaps in the literature. First, we use macroeconomic and financial data...
Persistent link: https://www.econbiz.de/10013011365
We test the dynamic aspects of the loss aversion feature of Kahneman and Tversky (1979) and find that idiosyncratic volatility is negatively associated with unrealized gains of stock returns. Moreover, we show that this negative relationship is stronger for stocks with high individual investors'...
Persistent link: https://www.econbiz.de/10013015494
We study multi-period equilibrium asset pricing in an economy with Epstein-Zin (EZ-) agents whose preferences for consumption are represented by recursive utility and with loss averse (LA-) agents who derive additional utility of gains and losses and are averse to losses. We propose an...
Persistent link: https://www.econbiz.de/10013004613
This paper presents the shadow Capital Asset Pricing Model (CAPM) of Ma (2011a) as an intertemporal equilibrium asset pricing model, and tests it empirically. In contrast to the classical CAPM - a single factor model based on a strong behavioral or distributional assumption, the shadow CAPM can...
Persistent link: https://www.econbiz.de/10012982842
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546
This paper studies the conjecture that investors prefer derivative markets over the equity market when hedging risks. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the stock market than in the derivatives market. We show that...
Persistent link: https://www.econbiz.de/10012846419
Does valuation risk induced by stochastic time preferences explain the equity premium puzzle as proposed by Albuquerque et al. (2016)? This explanation of the equity premium has several challenges. First, the valuation risk model implies extreme preference for early resolution of uncertainty and...
Persistent link: https://www.econbiz.de/10012851969