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dc.contributor.authorChabi-Yo, Foussenien
dc.contributor.authorLeisen, Dietmaren
dc.contributor.authorRenault, Ericen
dc.date.accessioned2011-12-15T12:56:17Z-
dc.date.available2011-12-15T12:56:17Z-
dc.date.issued2007-
dc.identifier.pidoi:10.34989/swp-2007-47en
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
dc.language.isoengen
dc.publisher|aBank of Canada |cOttawaen
dc.relation.ispartofseries|aBank of Canada Working Paper |x2007-47en
dc.subject.jelC52en
dc.subject.jelD58en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordFinancial marketsen
dc.subject.keywordMarket structure and pricingen
dc.subject.stwPortfolio-Managementen
dc.subject.stwKapitalanlageen
dc.subject.stwEntscheidung bei Risikoen
dc.subject.stwAsymmetrische Informationen
dc.subject.stwMarktstrukturen
dc.subject.stwTheorieen
dc.titleImplications of asymmetry risk for portfolio analysis and asset pricing-
dc.typeWorking Paperen
dc.identifier.ppn548043124en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:bca:bocawp:07-47en

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