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TIME VARIABILITY IN MARKET RISK AVERSION

Berger, Dave; Turtle, H. J. - In: Journal of Financial Research 32 (2009) 3, pp. 285-307

<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis,...

Persistent link: https://www.econbiz.de/10008536970

Die Aufgaben der Abteilung Rationalisierung

Berger, D. - In: Betriebsökonomische Probleme bei der Durchsetzung des …, (pp. 98-107). 1964

Persistent link: https://www.econbiz.de/10001890756

An Empirical Comparison of Bankruptcy Models

Mossman, Charles E.; Bell, Geoffrey G.; Swartz, L.Mick; … - In: The financial review : the official publication of the … 33 (1998) 2, pp. 35-54

Persistent link: https://www.econbiz.de/10007354702

Emerging market crises and US equity market returns

Berger, Dave; Turtle, H.J. - In: Global Finance Journal 22 (2011) 1, pp. 32-41

We find contagion effects are present in US small size portfolios during emerging market crises due to risk and liquidity concerns. Investors display flight from risk during emerging market crises, and as a result, safer larger stocks exhibit positive abnormal returns. We find little evidence of...

Persistent link: https://www.econbiz.de/10009249332

Tests of Conditional Asset Pricing with Time-Varying Moments and Risk Prices

Turtle, Harry; Buse, Adolf; Korkie, Bob - In: Journal of financial and quantitative analysis : JFQA 29 (1994) 1, pp. 15-30

Persistent link: https://www.econbiz.de/10006710014

Investor perceptions and volatility within a risk-return framework

Berger, Dave - In: Applied financial economics 20 (2010) 13, pp. 1003-1011

Persistent link: https://www.econbiz.de/10008434429

Market fragility and international market crashes

Berger, Dave; Pukthuanthong, Kuntara - In: Journal of financial economics 105 (2012) 3, pp. 565-581

Persistent link: https://www.econbiz.de/10009987075

Is THE DIVERSIFICATION BENEFIT OF FRONTIER MARKETS REALIZABLE BY MEAN-VARIANCE INVESTORS? The Evidence of Investable Funds

Berger, Dave; Pukthuanthong, Kuntara; Jimmy Yang, J - In: The journal of portfolio management : a publication of … 39 (2013) 4, pp. 36-48

Persistent link: https://www.econbiz.de/10010166708

The dual contributions of information instruments in return models: magnitude and direction predictability

Korkie, Bob; Sivakumar, Ranjini; Turtle, Harry - In: Journal of empirical finance 9 (2002) 5, pp. 511-524

Persistent link: https://www.econbiz.de/10007234574

Cross-sectional performance and investor sentiment in a multiple risk factor model

Berger, Dave; Turtle, H.J. - In: Journal of banking & finance 36 (2012) 4, pp. 1107-1122

Persistent link: https://www.econbiz.de/10009834078