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The time-varying nature of risk aversion : evidence from 60 years of U.S. stock market data
Pépin, Dominique; Miller, Stephen M. - 2020
Persistent link: https://www.econbiz.de/10012391037
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Risk, ambiguity, and equity premium : international evidence
Kim, Eung-Bin; Byun, Suk Joon - In: International review of economics & finance : IREF 76 (2021), pp. 321-335
Persistent link: https://www.econbiz.de/10013175824
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Behavioral preferences and beliefs in asset pricing
Gertsman, Gleb - 2023
Persistent link: https://www.econbiz.de/10014285188
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Risk aversion and risk loving in the small : a decomposition of the multivariate risk premium
Ercolani, Marco G. - In: Bulletin of economic research 56 (2004) 1, pp. 81-106
Persistent link: https://www.econbiz.de/10001893249
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A flexible approach to estimate the equity premium
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics 49 (2017) 59, pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
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Carry trade returns and segmented risk pricing
Schulze, Gordon - In: Atlantic economic journal : AEJ 49 (2021) 1, pp. 23-40
Persistent link: https://www.econbiz.de/10012542770
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Generalized disappointment aversion and the cross-section of stock returns
Lu, Xiaohua; Hu, Yonghong - In: Applied economics letters 30 (2023) 17, pp. 2455-2463
Persistent link: https://www.econbiz.de/10014365936
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Predicting returns on asset markets of a small, open economy and the influence of global risks
Haab, David R.; Nitschka, Thomas - 2017
Persistent link: https://www.econbiz.de/10011794321
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Risk attitude optimization and heterogeneous stock market participation
Sarver, Todd - 2017
This paper studies equilibrium portfolio choice and asset returns using a new model of recursive preferences called optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally select her risk aversion parameter in response to the...
Persistent link: https://www.econbiz.de/10012116795
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A consumption-based asset pricing model with disappointment aversion and uncertainty shocks
Li, Kaifeng; Xia, Bobo; Guo, Zhaoxuan - In: Economic modelling 94 (2021), pp. 235-243
Persistent link: https://www.econbiz.de/10012694760