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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
- 김세완
- Issue Date
- 2008
- Journal Title
- Economic Inquiry
- ISSN
- 0095-2583
- Citation
- Economic Inquiry vol. 46, no. 2, pp. 131 - 148
- Indexed
- SSCI; SCOPUS
- Document Type
- Article
- 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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