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Asset pricing and risk aversion in the Spanish stock market

Author

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  • Alonso, Aurora
  • Rubio, Gonzalo
  • Tusell, Fernando

Abstract

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Suggested Citation

  • Alonso, Aurora & Rubio, Gonzalo & Tusell, Fernando, 1990. "Asset pricing and risk aversion in the Spanish stock market," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 351-369, August.
    • Handle: RePEc:eee:jbfina:v:14:y:1990:i:2-3:p:351-369
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    Cited by:

    1. Vicente Meneu & Hipòlit Torró, 2003. "Asymmetric covariance in spot‐futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(11), pages 1019-1046, November.
    2. Rodríguez López, Rosa, 1996. "Modelos intertemporales de valoración de activos: análisis empírico para el caso español," DEE - Documentos de Trabajo. Economía de la Empresa. DB 6415, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    3. Bedoui, Rihab & Hamdi, Haykel, 2015. "Option-implied risk aversion estimation," The Journal of Economic Asymmetries, Elsevier, vol. 12(2), pages 142-152.
    4. Wu, C.C. & Lee, Jack C., 2007. "Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)," Economic Modelling, Elsevier, vol. 24(2), pages 329-349, March.
    5. Catherine Bonser‐Neal & Kathryn L Dewenter, 1999. "Does Financial Market Development Stimulate Savings? Evidence From Emerging Stock Markets," Contemporary Economic Policy, Western Economic Association International, vol. 17(3), pages 370-380, July.
    6. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January.
    7. Cesari, Riccardo & Panetta, Fabio, 2002. "The performance of Italian equity funds," Journal of Banking & Finance, Elsevier, vol. 26(1), pages 99-126, January.

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