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https://hdl.handle.net/10419/53818
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chabi-Yo, Fousseni | en |
dc.contributor.author | Leisen, Dietmar | en |
dc.contributor.author | Renault, Eric | en |
dc.date.accessioned | 2011-12-15T12:56:17Z | - |
dc.date.available | 2011-12-15T12:56:17Z | - |
dc.date.issued | 2007 | - |
dc.identifier.pi | doi:10.34989/swp-2007-47 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aBank of Canada |cOttawa | en |
dc.relation.ispartofseries | |aBank of Canada Working Paper |x2007-47 | en |
dc.subject.jel | C52 | en |
dc.subject.jel | D58 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Financial markets | en |
dc.subject.keyword | Market structure and pricing | en |
dc.subject.stw | Portfolio-Management | en |
dc.subject.stw | Kapitalanlage | en |
dc.subject.stw | Entscheidung bei Risiko | en |
dc.subject.stw | Asymmetrische Information | en |
dc.subject.stw | Marktstruktur | en |
dc.subject.stw | Theorie | en |
dc.title | Implications of asymmetry risk for portfolio analysis and asset pricing | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 548043124 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:bca:bocawp:07-47 | en |
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