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dc.contributor.authorUhlenbrock, Birgiten
dc.date.accessioned2009-07-20-
dc.date.accessioned2009-08-13T10:00:49Z-
dc.date.available2009-08-13T10:00:49Z-
dc.date.issued2009-
dc.identifier.isbn978-3-86558-525-7en
dc.identifier.urihttp://hdl.handle.net/10419/27691-
dc.description.abstractAssessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of indicators going back to Kumar and Persaud (2002). Looking at international stock indices during the subprime crisis in 2007, the plausibility of the GRAIs benefits from applying the rank correlation approach of Kumar and Persaud (2002) combined with a modified version of the factor-transformation extension proposed by Misina (2006).en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 2 |x2009,08en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG15en
dc.subject.ddc330en
dc.subject.keywordRisk appetite indicatorsen
dc.subject.keywordrisk aversion indicatorsen
dc.subject.keywordasset pricingen
dc.subject.keywordfinancial markets.en
dc.subject.stwRisikopräferenzen
dc.subject.stwAnlageverhaltenen
dc.subject.stwIndexen
dc.subject.stwIndexberechnungen
dc.subject.stwBörsenkursen
dc.subject.stwAktienindexen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwFinanzmarktkriseen
dc.subject.stwBörsenkriseen
dc.subject.stwWelten
dc.titleFinancial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators-
dc.typeWorking Paperen
dc.identifier.ppn605027579en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp2:200908en

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