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

Public ISBD [article]  in Management 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  of  riskiness  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  of  riskiness  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

Pricing kernels with stochastic skewness and volatility risk / Fousseni Chabi-Yo in Management science, Vol. 58 N° 3 (Mars 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 624-640 Titre : Pricing kernels with stochastic skewness and volatility risk Type de document : texte imprimé Auteurs : Fousseni Chabi-Yo, Auteur Année de publication : 2012 Article en page(s) : pp. 624-640 Note générale : Management Langues : Anglais (eng) Mots-clés : Pricing  kernels  Risk  aversion  Skewness  preference  Volatility  risk Résumé : I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases in the market index return and increases in market volatility. The projection of the estimated pricing kernel onto a polynomial function of the market return produces puzzling behaviors, which can be observed in the pricing kernel and absolute risk aversion functions. The inclusion of additional terms in the Taylor expansion series of the investor's marginal utility produces a pricing kernel function of market stochastic volatility, stochastic skewness, and stochastic kurtosis. The prices of risk of these moments are restricted by the investor's risk aversion, skewness preference, and kurtosis preference. The prices of risk of these moments should not be confused with the price of risk of powers of the market return, such as coskewness and cokurtosis. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc [article] Pricing kernels with stochastic skewness and volatility risk [texte imprimé] / Fousseni Chabi-Yo, Auteur . - 2012 . - pp. 624-640. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 3 (Mars 2012) . - pp. 624-640 Mots-clés : Pricing  kernels  Risk  aversion  Skewness  preference  Volatility  risk Résumé : I derive pricing kernels in which the market volatility is endogenously determined. Using the Taylor expansion series of the representative investor's marginal utility, I show that the price of market volatility risk is restricted by the investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant. The price of the market volatility is negative. Consistent with economic theory, I find that the pricing kernel decreases in the market index return and increases in market volatility. The projection of the estimated pricing kernel onto a polynomial function of the market return produces puzzling behaviors, which can be observed in the pricing kernel and absolute risk aversion functions. The inclusion of additional terms in the Taylor expansion series of the investor's marginal utility produces a pricing kernel function of market stochastic volatility, stochastic skewness, and stochastic kurtosis. The prices of risk of these moments are restricted by the investor's risk aversion, skewness preference, and kurtosis preference. The prices of risk of these moments should not be confused with the price of risk of powers of the market return, such as coskewness and cokurtosis. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/3.toc