کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7356198 | 1478223 | 2014 | 25 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
STATE DEPENDENCE OF AGGREGATED RISK AVERSION: EVIDENCE FOR THE GERMAN STOCK MARKET
ترجمه فارسی عنوان
وابستگی دولتی نسبت به خطرهای تقسیم شده: شواهد بازار سهام آلمان
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We propose a dynamic generalization of the Capital Asset Pricing Model (CAPM) that allows for a time-varying market price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility approach is employed to determine market risk. The advocated state space model takes autoregressive dynamics of the MPR and predetermined state variables into account. For the case of the DAX, the major German stock index, the empirical analysis strongly underpins time variation of risk compensation. The MPR is conditioned upon the EURIBOR, a national and an international term spread, returns of the Dow-Jones-Industrial-Average-Index (DOW), and a dummy variable hinting at excess activity of noise traders. Moreover, we document forecasting results based on a short horizon trading strategy. The proposed model is characterized by strong market timing ability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Applied Economics - Volume 17, Issue 2, November 2014, Pages 257-281
Journal: Journal of Applied Economics - Volume 17, Issue 2, November 2014, Pages 257-281
نویسندگان
Marc Hansen, Helmut Herwartz, Malte Rengel,