This article reports the results of a market experiment designed to test the predictions of the constant relative risk … information feedback, the data support the risk neutral Nash equilibrium prediction; with price information feedback, on the other … hand, subjects overbid the risk neutral Nash equilibrium significantly. The constant relative risk aversion model is …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

Merton’s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …-price ratios and past risk. It generates high estimates for the explained cross-sectional variation in average returns, lower … coefficient of relative risk aversion. …

enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic … timescales. The beta risk is priced in the up and down markets and the co-kurtosis is not. Co-skewness does not appear to be …

index, the estimated slope in the market model show strong switching behaviour. In these three securities the low risk state … is more persistent than the high-risk state. For each security we estimate the conditional probabilities that the … security is in the high (low) risk state given the market is in the high (low) volatility regime and show that this information …

This paper examines a decision-making problem of rational agents with risk averse utilities in the financial market …

Se han analizado 6 grupos de variables en un intento de explicar el retorno futuro de las acciones utilizando el CAPM … permite sostener la tesis central del CAPM. Ninguna de las betas de 6 grupos de variables es capaz de discriminar …