Absolute Risk Aversion on the Romanian Capital Market
Stock prices move as corporate earnings prospects change, but they also move as investors change their aversion to risk. One of the central tenets of finance is that investors expect higher return for taking risk. They exchange some of their riskless securities for risky assets because they expect the total payoff in the long run to be optimal in terms of the risk-return trade-off. The previous studies proved that expected return is linearly related to risk and if we further assume investors are risk averse, the alluded relation will have to be positive. Aversion to risk is reflected on a risk premium, which consists of an expected extra return that investors require to be compensated for the risk of holding stocks. In this paper, we tried to assess the risk aversion on the Romanian capital market by using the optimal portfolio selection method.
Volume (Year): 4 (2007)
Issue (Month): 4 (December)
|Contact details of provider:|| Postal: Casa Academiei, Calea 13, Septembrie nr.13, sector 5, Bucureşti 761172|
Phone: 004 021 3188148
Fax: 004 021 3188148
Web page: http://www.ipe.ro/
More information through EDIRC
References listed on IDEAS
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.:
- Robert B. Barsky & Miles S. Kimball & F. Thomas Juster & Matthew D. Shapiro, 1995. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Survey," NBER Working Papers 5213, National Bureau of Economic Research, Inc.
- Clifford B. Hawley & Edwin T. Fujii, 1994. "An Empirical Analysis of Preferences for Financial Risk: Further Evidence on the Friedman-Savage Model," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 16(2), pages 197-204, January.
- Robert B. Barsky & F. Thomas Juster & Miles S. Kimball & Matthew D. Shapiro, 1997. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study," The Quarterly Journal of Economics, Oxford University Press, vol. 112(2), pages 537-579.
- Sunden, Annika E & Surette, Brian J, 1998. "Gender Differences in the Allocation of Assets in Retirement Savings Plans," American Economic Review, American Economic Association, vol. 88(2), pages 207-211, May.
- Jianakoplos, Nancy Ammon & Bernasek, Alexandra, 1998. "Are Women More Risk Averse?," Economic Inquiry, Western Economic Association International, vol. 36(4), pages 620-630, October.
- Arie Kapteyn & Federica Teppa, 2002.
"Subjective Measures of Risk Aversion and Portfolio Choice,"
02-03, RAND Corporation.
- Kapteyn, A. & Teppa, F., 2002. "Subjective Measures of Risk Aversion and Portfolio Choice," Discussion Paper 2002-11, Tilburg University, Center for Economic Research.
When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v:4:y:2007:i:4:p:77-87. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.