کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9731460 | 1480484 | 2005 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Does conditional market skewness resolve the puzzling market risk-return relationship?
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In this paper, we employ instrumental variables methods that allow time-varying risk and reward-to-risk to test various conditional asset pricing models. We find a negative partial relation between the market excess return and conditional market variance. In contrast with recent findings, we show that this negative relationship is not due to the omission of the hedge term associated with the ICAPM. However, conditional market skewness seems to partly account for this negative risk-return relationship.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 582-598
Journal: The Quarterly Review of Economics and Finance - Volume 45, Issues 4â5, September 2005, Pages 582-598
نویسندگان
Omrane Guedhami, Oumar Sy,