Javid, Eatzaz Ahmad Test of multi-moment capital asset pricing model: Evidence from Karachi stock exchange. The conditional capital asset pricing model: Evidence from Karachi stock exchange. Basu, Sanjoy Investment performance of common stocks in relation to their Price-earnings ratios: A test of efficient market hypothesis. The Journal of Finance. Black, F. Brealey, R. Meyers Principles of corporate finance 7th Edition. New York: McGraw-Hill. Don U.
Enhancing Portfolio Performance in Global Equity Allocation with a Forward-Looking Indicator
Galagedera, Department of econometrics and business statistics, Monash university: A review of capital asset pricing model. Department of Econometrics and Business Statistics. Monash University. Eugene F. Fama and Kenneth R.
French The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives, 18 3 : 25— Fama, Eugene F. French The cross section of expected return. Journal of Finance. The Journal of Finance, 47 2 Fama, E. Ferson Wayne E.
Assessing Risk Aversion From the Investor’s Point of View
Kandel, and R. Stambaugh Tests of asset pricing with time-varying expected risk premium and market betas.
Journal of Finance, Fischer Black, Michael C. Jensen The capital asset pricing model: Some empirical tests. Michael C. Jensen, ed. Keywords: risk aversion, economic cycles, market risk premium, pricing models, big data. Introduction Risk aversion is one of the pillars of the theories used by economists. Background Individual preferences are complex, depending on a variety of economic, political, human, or even cultural factors.
Constant Risk Aversion Although risk preferences depend on several factors, most theoretical literature fits the risk aversion as an invariant parameter that represents the personal level of risk attitude. Table 1 Invariant vs. Invariant risk aversion Time-varying risk aversion Expected utility and quadratic functions Dependent on the economic cycle Shape-invariant pricing kernels Time-varying pricing kernels Ambiguity and unawareness models Macroeconomic and financial uncertainty measures Point estimations for a whole data sample period Implicit dynamic risk aversion in option prices and realized returns Construction of proxies of the market sentiment by PCA Dynamic risk aversion and the CAPM model Time-varying risk aversion and GARCH-M models.
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Conclusions This literature review summarizes, critically examines, and clarifies alternative viewpoints of the most relevant contributions in each of the facets that affect the study and use of risk aversion in financial models. Author Contributions All authors listed have made a substantial, direct and intellectual contribution to the work, and approved it for publication.
Conflict of Interest Statement The authors declare that the research was conducted in the absence of any commercial or financial relationships that could be construed as a potential conflict of interest. References Abel A. A unified model of investment under uncertainty. Optimal investment with costly reversibility. Nonparametric risk management and implied risk aversion. Aspects of the theory of risk-bearing. Testing constant absolute and relative ambiguity aversion.
Measuring economic policy uncertainty.
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Das CAPM-Modell | SpringerLink
Econometrica 55 , — Measuring and testing the impact of news on volatility. Global evidence on economic preferences.
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