haku: @indexterm profitability / yhteensä: 685
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| Tekijä: | Kliger, D. Levy, O. |
| Otsikko: | Risk preferences hetergeneity: evidence from asset markets |
| Lehti: | European Finance Review
2002 : VOL. 6:3, p. 277-290 |
| Asiasana: | Assets Preferences Profitability Risk aversion |
| Kieli: | eng |
| Tiivistelmä: | A time-series of investors' relative risk aversion (RRA) functions is extracted by using asset marketing data alongside with theoretical relations between investors' preferences, option-implied, risk-neutral, probability distribution functions (PFDs) and index-implied, actual, PDFs. Based on results recently derived by Benninga and Mayshar (2000), these functions are used to recover the evolution of risk preferences heterogeneity. |
SCIMA