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The Market Price of Risk, Size of Market and Investors' Risk Aversion: A Comment
The Review of Economics and Statistics, 1972that the ordinary least squares coefficient corresponding to the variable with the error will be biassed downward (in absolute value), and it is also seen that the direction and extent of bias in the other coefficients will depend directly on the covariances between those coefficient estimates and that of the offending variable.
Budd, A P, Litzenberger, Robert H
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Risk, Inflation, and the Stock Market [PDF]
American Economic Review, 1983 Most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation.This paper considers an alternative explanation: a substantial increase in the riskiness of capital investments. We show that the variance of firms' real gross marginal return on capital has increased significantly ...
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The Journal of Trading, 2009
The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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High Watermarks of Market Risk
SSRN Electronic Journal, 2009The volatility has long been used as an auxiliary variable in the processes explaining the returns on risky assets. In this traditional framework, the observable were the returns and the volatility remained a latent variable, whose value or possible values were a by-product of the estimation.
Bertrand Maillet +2 more
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Industry Risk and Market Integration
SSRN Electronic Journal, 2001Traditionally, integration has been studied at the country level. With increasing economic integration, industrial reorganization, and blurring of national boundaries (e.g., European Union (EU)), it is important to investigate global integration at the industry level.
Francesca Carrieri +2 more
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The Market Price of Risk, Size of Market and Investor's Risk Aversion: A Reply
The Review of Economics and Statistics, 1972Where G is the geometric mean rate of return on the individual's net worth. W,k is the kth individual's initial wealth. Using this approximation, the market price of risk, 4)-1, is equal to HaIM. The inclividual investor's risk aversion is W11,-1, E(1 R1,) _ W*1,k, and HaIM (I W*1k)l.
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MARKET VALUE AND SYSTEMATIC RISK
The Journal of Finance, 1977ONE OF THE CENTRAL ISSUES in the theory of finance is the relationship between expected risk and expected return required by individuals investing in assets. The Capital Asset Pricing Model (CAPM)' provides such a theoretical relationship under conditions of market equilibrium.
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Annals of Finance, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Estimating the Market Risk Premium
SSRN Electronic Journal, 1999This paper provides a methodology for estimating the market risk premium based on the underlying process governing the level of market volatility. My model provides a test for a structural shift in the historical risk premium and an unbiased estimate of its value.
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