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Monotonicity of asset price toward higher changes in risk

Jokung Nguena, Octave - In: Economics letters 118 (2013) 1, pp. 195-198

Persistent link: https://www.econbiz.de/10009706819

Change in Bivariate Risk and Asset Prices

Jokung, Octave - 2011

This paper analyzes the effect on the price of the risky asset of both global and marginal changes in dependent or independent exogenous and endogenous risks. Global changes induce riskier behavior and decrease market price when the utility function exhibits generalized relative risk aversions...

Persistent link: https://www.econbiz.de/10013120156

Asset prices and changes in risk within a bivariate model

Jokung Nguena, Octave; Mitra, Sovan - In: Asia-Pacific financial markets 26 (2019) 1, pp. 47-60

Persistent link: https://www.econbiz.de/10012308006

An alternative measure of the "world market portfolio" : determinants efficiency, and information content

Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of international money and finance 30 (2011) 5, pp. 724-748

Persistent link: https://www.econbiz.de/10009268777

The value premium puzzle, behavior versus risk : new evidence from China

Clark, Ephraim; Qiao, Zhuo - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 12-21

Persistent link: https://www.econbiz.de/10012417053

Exploiting stochastic dominance to generate abnormal stock returns

Clark, Ephraim; Kassimatis, Konstantinos - In: Journal of financial markets 20 (2014), pp. 20-38

Persistent link: https://www.econbiz.de/10010442398