State Dependence of Aggregated Risk Aversion: Evidence for the German Stock Market

“the effect of risk aversion on the demand for life insurance: the case of iranian life insurance market”

abstract: about 60% of total premium of insurance industry is pertained?to life policies in the world; while the life insurance total premium in iran is less than 6% of total premium in insurance industry in 2008 (sigma, no 3/2009). among the reasons that discourage the life insurance industry is the problem of adverse selection. adverse selection theory describes a situation where the inf...

conditional copula-garch methods for value at risk of portfolio: the case of tehran stock exchange market

ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...

Weekday Dependence of German Stock Market

The so{called`Monday eeect' has been found for various stock markets of the world. The empirical nding that Monday returns are signiicantly smaller than returns measured for the remaining days of the week calls the eeciency hypothesis for pricing processes operating on stock markets into question. Investigating an index series measured at the Frankfurt stock exchange the paper compares estimati...

Weak-Form Efficiency In The German Stock Market

What drives investor risk aversion? Daily evidence from the German equity market

Stock prices move as corporate earnings prospects change but they also move as investors change their aversion to risk. Aversion to risk gives rise to a risk premium, which consists of an expected extra return that investors require to be compensated for the risk of holding stocks. Option prices are a unique source of information for the estimation of risk premia. The way strike prices in optio...