Skewness Risk and Bond Prices
نویسندگان
چکیده
منابع مشابه
Implied Risk Aversion in Lottery Bond Prices♦
Both the equity premium puzzle and the credit spread puzzle address the problem of a reasonable size of agents’ risk aversion. The empirical estimation of risk aversion parameters is impeded by the fact that observed prices depend on risk preferences and probability beliefs. The market for German redemption lottery bonds constitutes a clean environment to estimate risk aversion coefficients fro...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2016
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.2528