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A Comparative Statics Analysis of Risk Premiums

Citations

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Cited by:

  1. Finkelshtain, Israel & Chalfant, James, 1989. "Portfolio Choices in the Presence of Other Risks," CUDARE Working Papers 198492, University of California, Berkeley, Department of Agricultural and Resource Economics.
  2. Siegmann, Arjen & Stefanova, Denitsa, 2017. "The evolving beta-liquidity relationship of hedge funds," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 286-303.
  3. Broll, Udo & Egozcue, Martín & Wong, Wing-Keung & Zitikis, Ričardas, 2010. "Prospect theory and hedging risks," Dresden Discussion Paper Series in Economics 05/10, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
  4. Mohamed Jellal & François-Charles Wolff, 2005. "Free Entry under Uncertainty," Journal of Economics, Springer, vol. 85(1), pages 39-63, July.
  5. Ravi Kashyap, 2016. "The Perfect Marriage and Much More: Combining Dimension Reduction, Distance Measures and Covariance," Papers 1603.09060, arXiv.org, revised Jul 2019.
  6. Richard M. Duvall & John M. Cheney, 1984. "Bond Beta And Default Risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(3), pages 243-254, September.
  7. Kashyap, Ravi, 2021. "Artificial Intelligence: A Child’s Play," Technological Forecasting and Social Change, Elsevier, vol. 166(C).
  8. Jackwerth, Jens Carsten, 2000. "Recovering Risk Aversion from Option Prices and Realized Returns," The Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 433-451.
  9. Connie Becker & Wayne Ferson & David Myers & Michael Schill, 1998. "Conditional Market Timing with Benchmark Investors," NBER Working Papers 6434, National Bureau of Economic Research, Inc.
  10. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The Performance of International Equity Portfolios," International Finance Discussion Papers 817, Board of Governors of the Federal Reserve System (U.S.).
  11. Francis, Bill B. & Mougoué, Mbodja & Panchenko, Valentyn, 2010. "Is there a symmetric nonlinear causal relationship between large and small firms?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 23-38, January.
  12. Wayne Ferson & Kenneth Khang, 2002. "Conditional Performance Measurement Using Portfolio Weights: Evidence for Pension Funds," NBER Working Papers 8790, National Bureau of Economic Research, Inc.
  13. Chen, Yong & Ferson, Wayne & Peters, Helen, 2010. "Measuring the timing ability and performance of bond mutual funds," Journal of Financial Economics, Elsevier, vol. 98(1), pages 72-89, October.
  14. Yong Chen & Wayne Ferson & Helen Peters, 2009. "Measuring the Timing Ability and Performance of Bond Mutual Funds," NBER Working Papers 15318, National Bureau of Economic Research, Inc.
  15. Xiangkang Yin, 2013. "Two-part tariffs set by a risk-averse monopolist," Journal of Economics, Springer, vol. 109(2), pages 175-192, June.
  16. Kashyap, Ravi, 2019. "The perfect marriage and much more: Combining dimension reduction, distance measures and covariance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
  17. Becker, Connie & Ferson, Wayne & Myers, David H. & Schill, Michael J., 1999. "Conditional market timing with benchmark investors," Journal of Financial Economics, Elsevier, vol. 52(1), pages 119-148, April.
  18. Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
  19. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Department of Economics Working Papers 2007_02, Durham University, Department of Economics.
  20. Ferson, Wayne & Khang, Kenneth, 2002. "Conditional performance measurement using portfolio weights: evidence for pension funds," Journal of Financial Economics, Elsevier, vol. 65(2), pages 249-282, August.
  21. Bowden, Roger J., 2000. "The ordered mean difference as a portfolio performance measure," Journal of Empirical Finance, Elsevier, vol. 7(2), pages 195-223, August.
  22. Sercu, Piet, 1997. "The variance of a truncated random variable and the riskiness of the underlying variables," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 79-95, September.
  23. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
  24. Marc Steffen Rapp & Bernhard Schwetzler, 2008. "Equilibrium Security Prices with Capital Income Taxes and an Exogenous Interest Rate," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 64(3), pages 334-351, September.
  25. Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
  26. Kalamov, Zarko Y., 2013. "Risk sharing and the efficiency of public good provision under tax competition," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 676-683.
  27. Zhengwei Sun & Ali E. Abbas, 2014. "On the sensitivity of the value of information to risk aversion in two-action decision problems," Environment Systems and Decisions, Springer, vol. 34(1), pages 24-37, March.
  28. Rapp, Marc Steffen & Schwetzler, Bernhard, 2008. "Equilibrium security prices with capital income taxes and an exogenous interest rate," CEFS Working Paper Series 2008-08, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
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