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dc.contributor.authorChabi-Yo, Foussenien_US
dc.contributor.authorLeisen, Dietmaren_US
dc.contributor.authorRenault, Ericen_US
dc.date.accessioned2011-12-15T12:56:17Z-
dc.date.available2011-12-15T12:56:17Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/53818-
dc.description.abstractAsymmetric 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.isoengen_US
dc.publisherBank of Canada Ottawaen_US
dc.relation.ispartofseriesBank of Canada Working Paper 2007,47en_US
dc.subject.jelC52en_US
dc.subject.jelD58en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordFinancial marketsen_US
dc.subject.keywordMarket structure and pricingen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwKapitalanlageen_US
dc.subject.stwEntscheidung bei Risikoen_US
dc.subject.stwAsymmetrische Informationen_US
dc.subject.stwMarktstrukturen_US
dc.subject.stwTheorieen_US
dc.titleImplications of asymmetry risk for portfolio analysis and asset pricingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn548043124en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
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