search query: @indexterm RISK MEASUREMENT / total: 141
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| Author: | Green, R. C. Rydqvist, K. |
| Title: | The valuation of nonsymmetric risks and the pricing of the Swedish lottery bonds |
| Journal: | Review of Financial Studies
1997 : SUMMER, VOL. 10:2, p. 447-480 |
| Index terms: | RISK MEASUREMENT PRICING LOTTERIES SWEDEN |
| Language: | eng |
| Abstract: | Swedish government lottery bonds which have coupon payments determined by lottery, offer an opportunity to study a security with uncertain payoffs having a known, observable distribution. The risk is idiosyncratic by construction and should not command a risk premium in equilibrium. Trading bonds in two forms allows to evaluate the rewards to bearing extra lottery risks. It was found prices appear to reflect aversion to the risk despite its idiosynchronic nature. The empirical determinants of the differential pricing and possible explanations are evaluated. |
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