VaR constrained asset pricing with relative performance
AbstractThis paper shows that when Value-at-Risk constrained institutional investors care about their relative standings among the peer group, more risk averse investors would take more risk, which improves the risk sharing and lowers the volatility.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 121 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Relative performance; Financial institution; Asset pricing; Value-at-Risk (VaR);
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Sandeep Kapur & Allan Timmermann, 2004.
"Relative Performance Evaluation Contracts and Asset Market Equilibrium,"
- Sandeep Kapur & Allan Timmermann, 2005. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Economic Journal, Royal Economic Society, vol. 115(506), pages 1077-1102, October.
- Sandeep Kapur & Allan Timmermann, 2004. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Finance 0408005, EconWPA.
- Sandeep Kapur & Allan Timmermann, 2005. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance 0503, Birkbeck, Department of Economics, Mathematics & Statistics.
- Kapur, Sandeep & Timmermann, Allan G, 2003. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," CEPR Discussion Papers 4038, C.E.P.R. Discussion Papers.
- Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
- Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May.
- Basak, Suleyman & Pavlova, Anna, 2012.
"Asset Prices and Institutional Investors,"
CEPR Discussion Papers
9120, C.E.P.R. Discussion Papers.
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