کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053691 1371457 2016 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized asset pricing: Expected Downside Risk-based equilibrium modeling
ترجمه فارسی عنوان
قیمت گذاری دارایی های عمومی: مدل سازی تعادلی مبتنی بر ریسک پیش بینی شده
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We introduce an equilibrium asset pricing model, which we build on the relationship between a novel risk measure, the Expected Downside Risk (EDR), and the expected return. On the one hand, our proposed risk measure uses a nonparametric approach that allows us to get rid of any assumption on the distribution of returns. On the other hand, our asset pricing model is based on loss-averse investors of Prospect Theory, through which we implement the risk-seeking behavior of investors in a dynamic setting. By including EDR in our proposed model, unrealistic assumptions of commonly used equilibrium models - such as the exclusion of risk-seeking or price-maker investors and the assumption of unlimited leverage opportunity for a unique interest rate - can be omitted. Therefore, we argue that based on more realistic assumptions, our model is able to describe equilibrium expected returns with higher accuracy, which we support by empirical evidence as well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 52, Part B, January 2016, Pages 967-980
نویسندگان
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