Does risk seeking drive asset prices? A stochastic dominance analysis of aggregate investor preferences

Author(s):

Thierry Post

 et al.
Topic:
Finance
Industry:
Banking

We investigate whether risk seeking or non-concave utility functions can help to explain the cross-sectional pattern of stock returns.

Updated: 27/10/2011
Comments:
Views: 3,414

Downside risk aversion, fixed income exposure, and the value premium puzzle

The value premium substantially reduces for downside risk averse investors with a substantial fixed income exposure, such as insurance companies and pension funds.

Updated: 22/09/2011
Comments:
Views: 5,060

Loss aversion with a state-dependent reference point

Author(s):

Thierry Post

This study investigates loss aversion when the reference point is state-dependent. Using a state-dependent structure, prospects are more attractive if they depend positively on the reference point and are less attractive in case of negative dependence.

Updated: 27/10/2011
Comments:
Views: 3,878

Does risk seeking drive asset prices? A stochastic dominance analysis of aggregate investor preferences

We investigate whether risk seeking or non-concave utility functions can help to explainthe cross-sectional pattern of stock returns.

Updated: 13/10/2011
Comments:
Views: 4,084

A mixing model for operational risk

Author(s):

Jens Nielsen

 et al.

External data can often be useful in improving estimation of operational risk loss distributions. This paper develops a systematic approach that incorporates external information into internal loss distribution modelling.

Updated: 22/09/2011
Comments:
Views: 4,114

Combining underreported internal and external data for operational risk measurement

Author(s):

Jens Nielsen

 et al.

This paper proposes a model for operational losses that improves the internal loss distribution modelling by combining internal and external operational risk data. It also considers the possibility that internal and external data have been collected with a different truncation threshold.

Updated: 22/09/2011
Comments:
Views: 4,495

An empirical test on leverage and stock returns

Author(s):

Gulnur Muradoglu

Topic:
Finance
Industry:
Banking

This is an empirical study that investigates the effect of firm's leverage on stock returns. We start with the explicit valuation model of Modigliani and Miller (1958) and expand the model further to test the relation between stock returns and firms' leverage.

Updated: 22/09/2011
Comments:
Views: 5,566

Apples and pears: the comparison of risk capital and required return in financial institutions

Risk capital is the contribution of an exposure to the default risk of a financial institution.

Updated: 22/09/2011
Comments:
Views: 4,126

Estimation risk in financial risk management: a correction

Christoffersen and Goncalves (2005) study the effect of parameter estimation error in computing Value at Risk and Expected Shortfall through commonly used methods including the Cornish-Fisher/Gram-Charlier approximations approach.

Updated: 29/09/2011
Comments:
Views: 4,240