Browsing by Subject "Risk Aversion"

Now showing items 1-6 of 6

    • Essays on Intermediary Asset Pricing 
      Shin, Sang-Ook (2019-06-10)
      The dissertation studies intermediary asset pricing, including two chapters. The first chapter examines how heterogeneity in intermediary capital – the equity capital ratio of the largest financial intermediaries in the ...
    • The Probability Premium Approach to Comparative Risk Aversion 
      Liu, Liqun; Neilson, William S. (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2015-04-23)
      In the framework of expected utility, nth-degree risk aversion/loving is unequivocally characterized by the sign of the nth-order derivative of the utility function, but there exist different notions of one decision maker ...
    • Risk and Risk Aversion Effects in Contests with Contingent Payments 
      Liu, Liqun; Meyer, Jack; Rettenmaier, Andrew J.; Saving, Thomas R. (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2018-01-18)
      Firms seeking new products, investors backing competitors, and government agencies in search of design solutions are all examples of different models of contest design found in the marketplace. In PERC’s working paper ...
    • The Time Varying Effect of Monetary Policy Surprise on Stock Returns: Bursting Bubble Beating Forward Guidance 
      Jansen, Dennis W.; Zervou, Anastasia S. (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2015-09-01)
      Generally, stock prices react negatively to unanticipated and restrictive monetary policies. In PERC Working Paper 1505, Jordan Professor of Economics, Dennis W. Jansen, and Anastasia S. Zervou test to what extent surprises ...
    • Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection Decision 
      Liu, Liqun; Denuit, Michel; Eeckhoudt, Louis; Meyer, Jack (Private Enterprise Research Center, Texas A&M University; Texas A&M University. Library, 2015-09-01)
      Agents who are averse to increases in downside risk are defined as being averse to changes that shift a certain amount of risk to a lower income level. For downside risk averse decision makers, there are several tradeoffs ...
    • The Volatility of Liquidity and Expected Stock Returns 
      Akbas, Ferhat 1981- (2011-07-29)
      The pricing of total liquidity risk is studied in the cross-section of stock returns. The study suggests that there is a positive relation between total volatility of liquidity and expected returns. Our measure of liquidity ...