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This research note examines the conditions which will induce a prospect theory type investor, whose reference level is … equity premium to invest in risky assets. However, once she does invest because of a large risk premium, she becomes … aggressive and buys/sells till an externally imposed upper/lower bound is reached. -- prospect theory ; loss aversion ; reference …
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This paper investigates market-wide risk aversion in an international setting. Particularly, this empirical study … evaluates risk aversion spillover dynamics as an uncertainty transmission mechanism for the period 2000-2015 to reveal if there … risk aversion, variance risk premium (VRP) is computed through the difference between expected variances under risk …
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results cannot be obtained by assuming higher risk aversion …
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We measure the extent to which the cyclical behavior of the turnover of equity shares generated by individual investors on the New York Stock Exchange can be accounted for by a single source of trade embedded in a neoclassical growth economy with dynamically complete markets. The source of trade...
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Assuming a risk-neutral bank and assuming household utility to be exponential, we show how under information symmetry …
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