IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis

  • V. Vance Roley
Registered author(s):

    The symmetry restriction in a system of financial asset demands has frequently been employed to reduce the number of independent parameters to be estimated. The theoretical implications of the symmetry restriction are examined in this paper, and it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also examined empirically, and the evidence supports symmetry only in cases where coefficients on cross-asset yields are insignificantly different from zero.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.nber.org/papers/w0593.pdf
    Download Restriction: no

    Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 0593.

    as
    in new window

    Length:
    Date of creation: Dec 1980
    Date of revision:
    Publication status: published as Roley, V. Vance. "Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Results." The Review of Economics and Statistics, Vol. 65, No. 1, (February 1983) pp. 124-130.
    Handle: RePEc:nbr:nberwo:0593
    Note: ME
    Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
    Phone: 617-868-3900
    Web page: http://www.nber.org
    Email:


    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.:

    as in new window
    1. Miller, Stephen M., 1975. "Measures of Risk Aversion: Some Clarifying Comments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(02), pages 299-309, June.
    2. Edward M. Gramlich & John H. Kalchbrenner, 1970. "A constrained estimation approach to the demand for liquid assets," Special Studies Papers 3, Board of Governors of the Federal Reserve System (U.S.).
    3. Friedman, Benjamin Morton, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Scholarly Articles 4554309, Harvard University Department of Economics.
    4. Parkin, M, 1970. "Discount House Portfolio and Debt Selection," Review of Economic Studies, Wiley Blackwell, vol. 37(4), pages 469-97, October.
    5. G. O. Bierwag & M. A. Grove, 1968. "Slutsky Equations for Assets," Journal of Political Economy, University of Chicago Press, vol. 76, pages 114.
    6. Courakis, A S, 1974. "Clearing Bank Asset Choice Behaviour: A Mean Variance Treatment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 36(3), pages 173-201, August.
    7. Feldstein, Martin S, 1969. "Mean-Variance Analysis in the Theory of Liquidity Preference and Portfolio Selection," Review of Economic Studies, Wiley Blackwell, vol. 36(105), pages 5-12, January.
    8. Borch, Karl, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Wiley Blackwell, vol. 36(105), pages 1-4, January.
    9. Lintner, John, 1970. "The Market Price of Risk, Size of Market and Investor's Risk Aversion," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 87-99, February.
    10. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
    11. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
    12. Adler, Michael, 1969. "On the Risk-Return Trade-off in the Valuation of Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(04), pages 493-512, December.
    13. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
    14. Tobin, James, 1969. "Comment on Borch and Feldstein," Review of Economic Studies, Wiley Blackwell, vol. 36(105), pages 13-14, January.
    15. William C. Brainard & James Tobin, 1968. "Pitfalls in Financial Model-Building," Cowles Foundation Discussion Papers 244, Cowles Foundation for Research in Economics, Yale University.
    16. Benjamin M. Friedman & V. Vance Roley, 1979. "A Note on the Derivation of Linear Homogeneous Asset Demand Functions," NBER Working Papers 0345, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:0593. 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: ()

    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.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.