| 1. |
- Farago, Adam, 1984, et al.
(författare)
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Downside risks and the cross-section of asset returns
- 2018
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Ingår i: Journal of Financial Economics. - : Elsevier BV. - 0304-405X. ; 129:1, s. 69-86
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Tidskriftsartikel (refereegranskat)abstract
- In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature. (C) 2018 Elsevier B.V. All rights reserved.
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| 2. |
- Feunou, Bruno, et al.
(författare)
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Modeling market downside volatility
- 2013
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Ingår i: Review of Finance. - : Oxford University Press (OUP): Policy F - Oxford Open Option D. - 1572-3097 .- 1573-692X. ; 17:1, s. 443-481
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Tidskriftsartikel (refereegranskat)
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| 3. |
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| 4. |
- Tédongap, Roméo, et al.
(författare)
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Which Parametric Model for Conditional Skewness
- 2014
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Ingår i: European Journal of Finance. - : Taylor & Francis (Routledge). - 1466-4364 .- 1351-847X. ; 22:13, s. 1237-1271
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Annan publikation (refereegranskat)abstract
- This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find that an asymmetric generalized autoregressive conditional heteroscedasticity specification on shape parameters with a skewed generalized error distribution provides the best in-sample fit for the data, as well as reasonable predictions of the realized skewness measure. Our empirical findings imply significant asymmetry with respect to positive and negative news in both conditional asymmetry and kurtosis processes.
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