Idiosyncratic Risk and Higher-Order Cumulants
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Mehra, Rajnish & Prescott, Edward C., 1985.
"The equity premium: A puzzle,"
Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
- R. Mehra & E. Prescott, 2010. "The equity premium: a puzzle," Levine's Working Paper Archive 1401, David K. Levine.
- Bakshi, Gurdip S. & Zhiwu, Chen, 1997.
"An alternative valuation model for contingent claims,"
Journal of Financial Economics, Elsevier, vol. 44(1), pages 123-165, April.
- Gurdip S. Bakshi & Zhiwu Chen, 1996. "An Alternative Valuation Model for Contingent Claims," Yale School of Management Working Papers ysm78, Yale School of Management.
- Ian Martin, 2013.
"The Lucas Orchard,"
Econometrica, Econometric Society, vol. 81(1), pages 55-111, January.
- Ian Martin, 2011. "The Lucas Orchard," NBER Working Papers 17563, National Bureau of Economic Research, Inc.
- Campbell, John Y, 1993.
"Intertemporal Asset Pricing without Consumption Data,"
American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
- John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
- Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
- Mahmoud Hamada & Emiliano A. Valdez, 2008.
"CAPM and Option Pricing With Elliptically Contoured Distributions,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(2), pages 387-409, June.
- Mahmoud Hamada & Emiliano A. Valdez, 2004. "CAPM and Option Pricing with Elliptical Disbributions," Research Paper Series 120, Quantitative Finance Research Centre, University of Technology, Sydney.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Ian W. Martin, 2013.
"Consumption-Based Asset Pricing with Higher Cumulants,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 80(2), pages 745-773.
- Ian Martin, 2010. "Consumption-Based Asset Pricing with Higher Cumulants," NBER Working Papers 16153, National Bureau of Economic Research, Inc.
- Ravi Bansal & Amir Yaron, 2004.
"Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles,"
Journal of Finance,
American Finance Association, vol. 59(4), pages 1481-1509, August.
- Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
- Rubinstein, Mark, 1974. "An aggregation theorem for securities markets," Journal of Financial Economics, Elsevier, vol. 1(3), pages 225-244, September.
- Owen, Joel & Rabinovitch, Ramon, 1983. "On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
- Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Lundtofte, Frederik & Wilhelmsson, Anders, 2013. "Risk premia: Exact solutions vs. log-linear approximations," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4256-4264.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010.
"Stock and bond returns with Moody Investors,"
Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
- Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
- Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc.
- Yu Chen & Thomas Cosimano & Alex Himonas, 2010. "Continuous time one-dimensional asset-pricing models with analytic price–dividend functions," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 42(3), pages 461-503, March.
- Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
- Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2013.
"Crises and Recoveries in an Empirical Model of Consumption Disasters,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 35-74, July.
- Jose Ursua & Jon Steinsson & Emi Nakamura & Robert Barro, 2008. "Crises and Recoveries in an Empirical Model of Consumption Disasters," 2008 Meeting Papers 1089, Society for Economic Dynamics.
- Emi Nakamura & Jón Steinsson & Robert Barro & José Ursúa, 2010. "Crises and Recoveries in an Empirical Model of Consumption Disasters," NBER Working Papers 15920, National Bureau of Economic Research, Inc.
- Knut K. Aase, 2016.
"Recursive utility using the stochastic maximum principle,"
Quantitative Economics, Econometric Society, vol. 7(3), pages 859-887, November.
- Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
- Bansal, Ravi & Khatchatrian, Varoujan & Yaron, Amir, 2005.
"Interpretable asset markets?,"
European Economic Review, Elsevier, vol. 49(3), pages 531-560, April.
- Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc.
- Ravi Bansal & Varoujan Khatchatrian & Amir Yaron, 2004. "Interpretable Asset Markets?," 2004 Meeting Papers 136b, Society for Economic Dynamics.
- Sabine Elmiger, 2019. "CAPM-anomalies: quantitative puzzles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(3), pages 643-667, October.
- Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
- Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
- Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc.
- Gollier, Christian, 2016.
"Evaluation of long-dated assets: The role of parameter uncertainty,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 66-83.
- Gollier, Christian, 2012. "Evaluation of long-dated assets : The role of parameter uncertainty," TSE Working Papers 12-361, Toulouse School of Economics (TSE), revised Sep 2015.
- Gurdip Bakshi, 2009. "Du subjectiv expectations explain asset pricing puzzles?," 2009 Meeting Papers 1234, Society for Economic Dynamics.
- Bianchi, Francesco, 2020.
"The Great Depression and the Great Recession: A view from financial markets,"
Journal of Monetary Economics, Elsevier, vol. 114(C), pages 240-261.
- Francesco Bianchi, 2015. "The Great Depression and the Great Recession: A View from Financial Markets," NBER Working Papers 21056, National Bureau of Economic Research, Inc.
- Gollier, Christian, 2021.
"The Welfare Cost of Ignoring the Beta,"
FEEM Working Papers
309916, Fondazione Eni Enrico Mattei (FEEM).
- Gollier, Christian, 2021. "The welfare cost of ignoring the beta," CEPR Discussion Papers 16007, C.E.P.R. Discussion Papers.
- Christian Gollier, 2021. "The Welfare Cost of Ignoring the Beta," Working Papers 2021.03, Fondazione Eni Enrico Mattei.
- Max Gillman & Michal Kejak & Michal Pakoš, 2015.
"Learning about Rare Disasters: Implications For Consumption and Asset Prices,"
Review of Finance, European Finance Association, vol. 19(3), pages 1053-1104.
- Max Gillman & Michal Kejak & Michal Pakos, 2014. "Learning about Rare Disasters: Implications for Consumptions and Asset Prices," CEU Working Papers 2014_2, Department of Economics, Central European University.
- Christian Gollier, 2012.
"Evaluation of Long-Dated Investments under Uncertain Growth Trend, Volatility and Catastrophes,"
CESifo Working Paper Series
4052, CESifo.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers 754, Institut d'Économie Industrielle (IDEI), Toulouse, revised Sep 2015.
- Gollier, Christian, 2012. "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," LERNA Working Papers 12.28.385, LERNA, University of Toulouse.
- Cochrane, John H., 2005.
"Financial Markets and the Real Economy,"
Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
- John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
More about this item
Keywords
diosyncratic risk; idiosyncratic volatility; risk premia; cumulants; NIG distribution;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2011-10-15 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hhs:lunewp:2011_033. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Prakriti Thami (email available below). General contact details of provider: https://edirc.repec.org/data/delunse.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.