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dc.contributor.author김세완-
dc.date.accessioned2017-01-05T02:01:56Z-
dc.date.available2017-01-05T02:01:56Z-
dc.date.issued2008-
dc.identifier.issn0095-2583-
dc.identifier.otherOAK-4751-
dc.identifier.urihttps://dspace.ewha.ac.kr/handle/2015.oak/233523-
dc.description.abstractWe 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.languageEnglish-
dc.titleStock returns, asymmetric volatility, risk aversion, and business cycle: Some new evidence-
dc.typeArticle-
dc.relation.issue2-
dc.relation.volume46-
dc.relation.indexSSCI-
dc.relation.indexSCOPUS-
dc.relation.startpage131-
dc.relation.lastpage148-
dc.relation.journaltitleEconomic Inquiry-
dc.identifier.doi10.1111/j.1465-7295.2007.00066.x-
dc.identifier.wosidWOS:000255126100003-
dc.identifier.scopusid2-s2.0-42249097247-
dc.author.googleKim S.-W.-
dc.author.googleLee B.-S.-
dc.contributor.scopusid김세완(23028335600)-
dc.date.modifydate20170605103556-
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사회과학대학 > 경제학전공 > Journal papers
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