Measuring Risk Aversion From Excess Returns on a Stock Index [PDF]
We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean excess return on a stock index and its variance.
Alex Kane, Ray Chou, Robert F. Engle
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Predictive and Contemporaneous Power of the Determinants of Stock Liquidity. [PDF]
Front Psychol, 2022 Xie L, Jin Y, Mo C.
europepmc +1 more source
Exchange Volatility and Risk Premium [PDF]
This paper empirically evaluates the importance of exchange rate regimes and exchange rate volatility on interest rate differentials, with special reference to Chile. We estimate risk-premia for 16 country experiences with different exchange rate regimes
Claudio Soto, Rodrigo Valdés
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Methods of ex vivo analysis of tissue status in vascularized composite allografts. [PDF]
J Transl Med, 2023 Ton C +7 more
europepmc +1 more source
Pricing model performance and the two-pass cross-sectional regression methodology [PDF]
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is
Cesare Robotti, Jay Shanken, Raymond Kan
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The Role of Antibodies Against the Crude Capsular Extract in the Immune Response of Porcine Alveolar Macrophages to In Vitro Infection of Various Serovars of Glaesserella (Haemophilus) parasuis. [PDF]
Front Immunol, 2021 Matiašková K +7 more
europepmc +1 more source
Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market. [PDF]
Systematic liquidity shocks should affect the optimal behavior of agents in financial markets. Indeed, fluctuations in various measures of liquidity are significantly correlated across common stocks.
Martínez, Miguel Ángel +3 more
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Is the forward bias economically small? Evidence from European rates. [PDF]
For the purpose of testing uncovered interest parity (UIP), rates of European currencies against the DEM offer a distinct advantage: ERM membership or informal ERM association induces statistically significant mean-reversion in weekly rates. Thus, unlike
Sercu, Piet +2 more
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How Risk Averse are Fund Managers? Evidence from Irish Mutual Funds [PDF]
This paper investigates the degree of risk aversion exhibited by Irish fund managers. Assuming a mean-variance optimising manager, we employ the dynamic conditional correlation specification (Engle, 2002) of the multivariate GARCH model to estimate the ...
Thomas J. Flavin
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A Framework for CAPM with Heterogenous Beliefs [PDF]
We introduce heterogeneous beliefs in to the mean-variance framework of the standard CAPM, in contrast to the standard approach which assumes homogeneous beliefs.
Carl Chiarella +2 more
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