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Stock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence
- Stock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence
- Kim S.-W.; Lee B.-S.
- Ewha Authors
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- Economic Inquiry
- Economic Inquiry vol. 46, no. 2, pp. 131 - 148
- SSCI; SCOPUS
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- 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.
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- 사회과학대학 > 경제학전공 > Journal papers
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