Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김세완 | * |
dc.date.accessioned | 2017-01-05T02:01:56Z | - |
dc.date.available | 2017-01-05T02:01:56Z | - |
dc.date.issued | 2008 | * |
dc.identifier.issn | 0095-2583 | * |
dc.identifier.other | OAK-4751 | * |
dc.identifier.uri | https://dspace.ewha.ac.kr/handle/2015.oak/233523 | - |
dc.description.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. | * |
dc.language | English | * |
dc.title | Stock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence | * |
dc.type | Article | * |
dc.relation.issue | 2 | * |
dc.relation.volume | 46 | * |
dc.relation.index | SSCI | * |
dc.relation.index | SCOPUS | * |
dc.relation.startpage | 131 | * |
dc.relation.lastpage | 148 | * |
dc.relation.journaltitle | Economic Inquiry | * |
dc.identifier.doi | 10.1111/j.1465-7295.2007.00066.x | * |
dc.identifier.wosid | WOS:000255126100003 | * |
dc.identifier.scopusid | 2-s2.0-42249097247 | * |
dc.author.google | Kim S.-W. | * |
dc.author.google | Lee B.-S. | * |
dc.contributor.scopusid | 김세완(23028335600) | * |
dc.date.modifydate | 20231120163047 | * |