DC Field | Value | Language |
---|---|---|
dc.contributor.author | Fang, Jeewon | ko |
dc.contributor.author | Kang, Jangkoo | ko |
dc.date.accessioned | 2018-01-22T02:05:27Z | - |
dc.date.available | 2018-01-22T02:05:27Z | - |
dc.date.created | 2017-12-18 | - |
dc.date.created | 2017-12-18 | - |
dc.date.issued | 2017-11 | - |
dc.identifier.citation | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, v.42, pp.314 - 337 | - |
dc.identifier.issn | 1062-9408 | - |
dc.identifier.uri | http://hdl.handle.net/10203/237178 | - |
dc.description.abstract | We propose an intertemporal asset pricing model that incorporates both preference for higher-order moments and stochastic investment opportunities and encompasses a wide range of existing models. We provide supporting evidence from the U.S. stock market and find that, not only is systematic skewness negatively priced, an extra return premium is also required for accepting high systematic risk associated with a rise in risk aversion. Our findings suggest that considering both skewness preference and intertemporal hedging demands improves the estimated risk-return trade-off, and that cross-sectional anomalies such as value, momentum, and failure probability puzzles can be partially explained by our model. | - |
dc.language | English | - |
dc.publisher | ELSEVIER SCIENCE INC | - |
dc.subject | EXPECTED STOCK RETURNS | - |
dc.subject | PORTFOLIO SELECTION | - |
dc.subject | PRICING KERNELS | - |
dc.subject | ASSET RETURNS | - |
dc.subject | CROSS-SECTION | - |
dc.subject | RISK-FACTORS | - |
dc.subject | SKEWNESS | - |
dc.subject | MARKET | - |
dc.subject | PREFERENCE | - |
dc.subject | EQUILIBRIUM | - |
dc.title | An intertemporal CAPM with higher-order moments | - |
dc.type | Article | - |
dc.identifier.wosid | 000417010600019 | - |
dc.identifier.scopusid | 2-s2.0-85026914067 | - |
dc.type.rims | ART | - |
dc.citation.volume | 42 | - |
dc.citation.beginningpage | 314 | - |
dc.citation.endingpage | 337 | - |
dc.citation.publicationname | NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | - |
dc.identifier.doi | 10.1016/j.najef.2017.07.017 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Fang, Jeewon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article | - |
dc.subject.keywordAuthor | Skewness | - |
dc.subject.keywordAuthor | Intertemporal asset pricing | - |
dc.subject.keywordAuthor | Risk aversion | - |
dc.subject.keywordAuthor | Prudence | - |
dc.subject.keywordAuthor | Anomalies | - |
dc.subject.keywordPlus | EXPECTED STOCK RETURNS | - |
dc.subject.keywordPlus | PORTFOLIO SELECTION | - |
dc.subject.keywordPlus | PRICING KERNELS | - |
dc.subject.keywordPlus | ASSET RETURNS | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | RISK-FACTORS | - |
dc.subject.keywordPlus | SKEWNESS | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | PREFERENCE | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
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