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Bank of Canada Working Papers >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/53818
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Chabi-Yo, Fousseni | | en_US |
| dc.contributor.author | | Leisen, Dietmar | | en_US |
| dc.contributor.author | | Renault, Eric | | en_US |
| dc.date.accessioned | | 2011-12-15T12:56:17Z | | - |
| dc.date.available | | 2011-12-15T12:56:17Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/53818 | | - |
| dc.description.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). | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Bank of Canada Ottawa | | en_US |
| dc.relation.ispartofseries | | Bank of Canada Working Paper 2007,47 | | en_US |
| dc.subject.jel | | C52 | | en_US |
| dc.subject.jel | | D58 | | en_US |
| dc.subject.jel | | G11 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Financial markets | | en_US |
| dc.subject.keyword | | Market structure and pricing | | en_US |
| dc.subject.stw | | Portfolio-Management | | en_US |
| dc.subject.stw | | Kapitalanlage | | en_US |
| dc.subject.stw | | Entscheidung bei Risiko | | en_US |
| dc.subject.stw | | Asymmetrische Information | | en_US |
| dc.subject.stw | | Marktstruktur | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Implications of asymmetry risk for portfolio analysis and asset pricing | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 548043124 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Bank of Canada Working Papers
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