On the risks of stocks in the long run : a probabilistic approach based on measures of shortfall risk
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Manuel Ammann & Heinz Zimmermann, 2000. "Evaluating the Long-Term Risk of Equity Investments in a Portfolio Insurance Framework," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 25(3), pages 424-438, July.
- Julia Lynn Wirch, 1999. "Raising Value at Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 106-115.
- Albrecht, Peter & Maurer, Raimond, 2000. "100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage," Sonderforschungsbereich 504 Publications 00-05, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Albrecht, Peter & Maurer, Raimond, 2000. "100% Aktien zur Altersvorsorge - Über die Langfristrisiken einer Aktienanlage," Papers 00-05, Sonderforschungsbreich 504.
- Paul Embrechts & Sidney Resnick & Gennady Samorodnitsky, 1999. "Extreme Value Theory as a Risk Management Tool," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 30-41.
- Albrecht, Peter & Maurer, Raimond & Möller, Matthias, 1997. "Shortfall-Risiko/Excess-Chance-Entscheidungskalküle: Grundlagen und Beziehungen zum Bernoulli-Prinzip," Sonderforschungsbereich 504 Publications 97-17, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Lynn Wirch, Julia & Hardy, Mary R., 1999. "A synthesis of risk measures for capital adequacy," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 337-347, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Klos, Alexander & Langer, Thomas & Weber, Martin, 2002.
"Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?,"
Sonderforschungsbereich 504 Publications
02-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang : welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Papers 02-49, Sonderforschungsbreich 504.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maurer, Raimond H. & Schlag, Christian, 2002. "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series 2002/03, Center for Financial Studies (CFS).
- Raimond Mauer & Steffen P. Sebastian, 2002.
"Inflation Risk Analysis of European Real Estate Securities,"
Journal of Real Estate Research, American Real Estate Society, vol. 24(1), pages 47-78.
- Maurer, Raimond & Sebastian, Steffen, 2000. "Inflation risk analysis of European real estate securities," Papers 00-07, Sonderforschungsbreich 504.
- Raimond Maurer & Steffen Sebastian, 2002. "Inflation Risk Analysis of European Real Estate Securities," Working Paper Series: Finance and Accounting 51, Department of Finance, Goethe University Frankfurt am Main.
- Raimond Maurer & Steffen Sebastian, 2000. "Inflation Risk Analysis of European Real Estate Securities," ERES eres2000_079, European Real Estate Society (ERES).
- Maurer, Raimond & Sebastian, Steffen, 2000. "Inflation Risk Analysis of European Real Estate Securities," Sonderforschungsbereich 504 Publications 00-07, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
- Albrecht, Peter, 2003. "Risk measures," Papers 03-01, Sonderforschungsbreich 504.
- Buss, Adrian, 2013. "Capital controls and international financial stability: a dynamic general equilibrium analysis in incomplete markets," Working Paper Series 1578, European Central Bank.
- Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
- Croce, M.M. & Nguyen, Thien T. & Raymond, S. & Schmid, L., 2019. "Government debt and the returns to innovation," Journal of Financial Economics, Elsevier, vol. 132(3), pages 205-225.
- Rhys Bidder & Ian Dew-Becker, 2016.
"Long-Run Risk Is the Worst-Case Scenario,"
American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
- Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
- Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk is the Worst-Case Scenario," NBER Working Papers 22416, National Bureau of Economic Research, Inc.
- Athanasopoulos, George & de Carvalho Guillén, Osmani Teixeira & Issler, João Victor & Vahid, Farshid, 2011.
"Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 116-129, September.
- George Athanasopoulos & Osmani T. de C. Guillén & João V. Issler & Farshid Vahid, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," Monash Econometrics and Business Statistics Working Papers 2/09, Monash University, Department of Econometrics and Business Statistics.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- George Athanasopoulos & Osmani Teixeira de Carvalho Guillén & João Victor Issler & Farshid Vahid, 2010. "Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions," Working Papers Series 205, Central Bank of Brazil, Research Department.
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 707, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor, 2009. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 688, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2010. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 704, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Alan Gregory, 2011. "The Expected Cost of Equity and the Expected Risk Premium in the UK," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 1-26, April.
- Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
- Smoluk, H. J. & Neveu, Raymond P., 2002. "Consumption and asset prices: An analysis across income groups," Review of Financial Economics, Elsevier, vol. 11(1), pages 47-62.
- Coudert, Virginie & Mignon, Valérie, 2013.
"The “forward premium puzzle” and the sovereign default risk,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
- Virginie Coudert & Valérie Mignon, 2011. "The “Forward Premium Puzzle” and the Sovereign Default Risk," Working Papers 2011-17, CEPII research center.
- Virginie Coudert & Valérie Mignon, 2013. "The ‘Forward Premium Puzzle’ and the Sovereign Default risk," Post-Print hal-01385839, HAL.
- Karen K. Lewis, 2011.
"Global Asset Pricing,"
Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 435-466, December.
- Karen K. Lewis, 2011. "Global Asset Pricing," NBER Working Papers 17261, National Bureau of Economic Research, Inc.
- Karen K. Lewis, 2011. "Global asset pricing," Globalization Institute Working Papers 88, Federal Reserve Bank of Dallas.
- Diego Comin, 2004.
"R&D: A Small Contribution to Productivity Growth,"
Journal of Economic Growth,
Springer, vol. 9(4), pages 391-421, December.
- Comin, D., 2002. "R&D? A Small Contribution to Productivity Growth," Working Papers 02-01, C.V. Starr Center for Applied Economics, New York University.
- Diego Comin, 2003. "R&D? A Small Contribution to Productivity Growth," Macroeconomics 0306007, EconWPA.
- Diego Comin, 2004. "R&D: A Small Contribution to Productivity Growth," NBER Working Papers 10625, National Bureau of Economic Research, Inc.
- Auffret, Philippe, 2001. "An alternative unifying measure of welfare gains from risk-sharing," Policy Research Working Paper Series 2676, The World Bank.
- Luigi Guiso, 2015.
"A Test of Narrow Framing and its Origin,"
Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 1(1), pages 61-100, March.
- Luigi Guiso, 2008. "A Test of Narrow Framing and its Origin," EIEF Working Papers Series 0818, Einaudi Institute for Economics and Finance (EIEF), revised Dec 2008.
- Guiso, Luigi, 2009. "A test of narrow framing and its origin," CEPR Discussion Papers 7112, C.E.P.R. Discussion Papers.
- Luigi Guiso, 2009. "A Test of Narrow Framing and its Origin," Economics Working Papers ECO2009/02, European University Institute.
- Kevin J. Lansing, 2011.
"Asset pricing with concentrated ownership of capital,"
Working Paper
2011/18, Norges Bank.
- Kevin J. Lansing, 2011. "Asset pricing with concentrated ownership of capital," Working Paper Series 2011-07, Federal Reserve Bank of San Francisco.
- Stavros Panageas & Nicolae Garleanu, 2008. "Yooung, Old, Conservative and Bold: The implications of finite lives and heterogeneity for asset prices," 2008 Meeting Papers 409, Society for Economic Dynamics.
- Shi, Yun & Cui, Xiangyu & Zhou, Xunyu, 2020. "Beta and Coskewness Pricing: Perspective from Probability Weighting," SocArXiv 5rqhv, Center for Open Science.
- Benjamin Eden, 2004. "Substitution and Risk Aversion: Is Risk Aversion Important for Understanding Asset Prices?," Vanderbilt University Department of Economics Working Papers 0422, Vanderbilt University Department of Economics.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mnh:spaper:2810. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Katharina Rautenberg (email available below). General contact details of provider: https://edirc.repec.org/data/sfmande.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.