We examine the long-run impact of exposure to a traumatic event on risk attitudes. We estimate risk aversion of those who experienced the Korean War at different ages to identify a sensitive period for risk attitude formation. This major war broke out suddenly, and the impact of the war on...

In the paper the exponential risk measure of Damant and Satchell is used to formulate an investor's utility function and the properties of this function are investigated. The utility function is calibrated for a typical UK investor who would hold different proportions of equity. It is found...

This article investigates the modelling of style returns in the United States and the returns to style 'tilts' based on forecasts of enhanced future style returns. We use hidden Markov model to build our forecasts for data from 1975 to 1998. We do not include more recent observations as the...

This study introduces GARCH models with cross-sectional market volatility, which are called GARCHX models. The cross-sectional market volatility is a special case of common heteroscedasticity in asset specific returns, which is suggested by Connor and Linton (2001) as an important component in...

It is shown that the ML estimates of the popular GARCH(1,1) model are significantly negatively biased in small samples and that in many cases converged estimates are not possible with Bollerslev's non-negativity conditions. Results also indicate that a high level of persistence in GARCH(1,1)...

In this study, we propose a method based on large deviation theory (LDT), which minimises credit risk (expected loss). We demonstrate how mortgage loan portfolios can be optimised using geographical differences in the risk characteristics of mortgage loans in the UK. Our empirical results show...

In this paper, we propose the average <italic>F</italic>-statistic for testing linear asset pricing models. The average pricing error, captured in the statistic, is of more interest than the <italic>ex post</italic> maximum pricing error of the multivariate <italic>F</italic>-statistic that is associated with extreme long and short positions and...

type="main" <p>We investigate the dynamics of appraisal smoothing in the National Council of Real Estate Investment Fiduciaries (NCREIF) index return using time-varying asset pricing models. We find that smoothing is on average close to zero but varies substantially over time. From the inception of...</p>