Colog asset pricing, evidence from emerging markets
We introduce a new asset pricing model to account for risk asymmetrically in a very natural way. Assuming asymmetric investor behavior we develop a utility function similar to a quadratic utility but include a colog measure for capturing risk attitude. Asymmetry in investor preferences follows the asymmetric relationships between asset and market returns in equilibrium. Moreover the local version of the model depends on the characteristics of domestic markets, which is reflected in the different relationship between asset and market returns. We test the model in the Russian and South African markets and show that market premium in the Russian market is higher than in the South African market.
|Date of creation:||2013|
|Date of revision:|
|Publication status:||Published in WP BRP Series: Financial Economics / FE, December 2013, pages 1-11|
|Contact details of provider:|| Postal: |
Web page: http://www.hse.ru/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:hig:wpaper:26/fe/2013. 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: (Shamil Abdulaev)or (Victoria Elkina)
If references are entirely missing, you can add them using this form.