@techreport{Chabi-Yo2007Implications,
abstract = {Asymmetric shocks are common in markets; securities'; payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem holds, adding a skewness portfolio to the market portfolio; the pricing kernel depends linearly only on the market return and its squared value. Our analysis extends Harvey and Siddique's (2000) conditional mean-variance-skewness asset pricing model to non-vanishing riskneutral market variance. The empirical relevance of this extension is documented in the context of the asymmetric GARCH-in-mean model of Bekaert and Liu (2004).},
address = {Ottawa},
author = {Fousseni Chabi-Yo and Dietmar Leisen and Eric Renault},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C52; D58; G11; G12; 330; Financial markets; Market structure and pricing; Portfolio-Management; Kapitalanlage; Entscheidung bei Risiko; Asymmetrische Information; Marktstruktur; Theorie},
language = {eng},
number = {2007,47},
publisher = {Bank of Canada},
title = {Implications of asymmetry risk for portfolio analysis and asset pricing},
type = {Bank of Canada Working Paper},
url = {http://hdl.handle.net/10419/53818},
year = {2007}
}
