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Stock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence

Title
Stock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence
Authors
Kim S.-W.Lee B.-S.
Ewha Authors
김세완
SCOPUS Author ID
김세완scopus
Issue Date
2008
Journal Title
Economic Inquiry
ISSN
0095-2583JCR Link
Citation
vol. 46, no. 2, pp. 131 - 148
Indexed
SSCI; SCOPUS WOS scopus
Abstract
We study how three interrelated phenomena - excess stock returns and risk relation, risk aversion, and asymmetric volatility movement - change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that excess stock return increases and asymmetric volatility movement is weakened during boom periods. This suggests that investors become more risk-averse during boom periods (i.e., procyclical risk aversion), which we confirm using a calibration of a simple equilibrium model. (JEL C32, E32, G12) © 2007 Western Economic Association International.
DOI
10.1111/j.1465-7295.2007.00066.x
Appears in Collections:
사회과학대학 > 경제학전공 > Journal papers
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