A generalized measure of riskiness / Turan G. Bali in Management science, Vol. 57 N° 8 (Août 2011)  

Public ISBD [article]  inManagement science > Vol. 57 N° 8 (Août 2011) . - pp. 1406-1423 Titre : A generalized measure of riskiness Type de document : texte imprimé Auteurs : Turan G. Bali, Auteur ; Nusret Cakici, Auteur ; Fousseni Chabi-Yo, Auteur Année de publication : 2011 Article en page(s) : pp. 1406-1423 Note générale : Management Langues : Anglais (eng) Mots-clés : Riskiness Economic index of riskiness Operational measure Risk-neutral measures Stock returns Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810–836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure of riskiness. J. Political Econom. 117(5) 785–814). The paper introduces the generalized options' implied measure of riskiness based on the risk-neutral return distribution of financial securities. It also provides asset allocation implications and shows that the forward-looking measures of riskiness successfully predict the cross section of 1-, 3-, 6-, and 12-month-ahead risk-adjusted returns of individual stocks. The empirical results indicate that the generalized measure of riskiness is able to rank equity portfolios based on their expected returns per unit of risk and hence yields a more efficient strategy for maximizing expected return of the portfolio while minimizing its risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/8.toc [article] A generalized measure of riskiness [texte imprimé] / Turan G. Bali, Auteur ; Nusret Cakici, Auteur ; Fousseni Chabi-Yo, Auteur . - 2011 . - pp. 1406-1423. Management Langues : Anglais (eng) in Management science > Vol. 57 N° 8 (Août 2011) . - pp. 1406-1423 Mots-clés : Riskiness Economic index of riskiness Operational measure Risk-neutral measures Stock returns Index. décimale : 658 Organisation des entreprises. Techniques du commerce Résumé : This paper proposes a generalized measure of riskiness that nests the original measures pioneered by Aumann and Serrano (Aumann, R. J., R. Serrano. 2008. An economic index of riskiness. J. Political Econom. 116(5) 810–836) and Foster and Hart (Foster, D. P., S. Hart. 2009. An operational measure of riskiness. J. Political Econom. 117(5) 785–814). The paper introduces the generalized options' implied measure of riskiness based on the risk-neutral return distribution of financial securities. It also provides asset allocation implications and shows that the forward-looking measures of riskiness successfully predict the cross section of 1-, 3-, 6-, and 12-month-ahead risk-adjusted returns of individual stocks. The empirical results indicate that the generalized measure of riskiness is able to rank equity portfolios based on their expected returns per unit of risk and hence yields a more efficient strategy for maximizing expected return of the portfolio while minimizing its risk. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/57/8.toc

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