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Stock performance evaluation incorporating high moments and disaster risk : evidence from Japan

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Asia Pacific financial markets 27 (2020) 2, pp. 155-174

Persistent link: https://www.econbiz.de/10012222392

Utility indifference pricing and the Aumann-Serrano performance index

Hodoshima, Jiro; Miyahara, Yoshio - In: Journal of mathematical economics 86 (2020), pp. 83-89

Persistent link: https://www.econbiz.de/10012660654

Reexamining the Robustness of the Market Value of Equity

Garza Gomez, Xavier - 2001

We apply the methodology of Knez and Ready (KR 1997) to data from the Japanese stock market and reexamine the robustness of the risk premium for the market value of equity (MVE). In particular, we compare two alternative explanations for the relation between stock returns and MVE: the one...

Persistent link: https://www.econbiz.de/10012788002

Comparison of utility indifference pricing and mean-variance approach under normal mixture

Hodoshima, Jiro; Misawa, Tetsuya; Miyahara, Yoshio - In: Finance research letters 24 (2018), pp. 221-229

Persistent link: https://www.econbiz.de/10011982579