Variations in Risk Aversion / Najlacnejšie knihy
Variations in Risk Aversion

Code: 06828509

Variations in Risk Aversion

by Moshe Omer

In this paper recent techniques for recovering information implied by options market prices and realized returns are applied empirically to measure the risk aversion of investors in the Israeli stock market. We determine nonparame ... more

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Book synopsis

In this paper recent techniques for recovering information implied by options market prices and realized returns are applied empirically to measure the risk aversion of investors in the Israeli stock market. We determine nonparametric volatility smile, densities and risk aversion functions from a ten years sample of daily option and stock market prices. Moreover, we construct a time series of the absolute risk aversion, and study its variation over time. We report decreasing and generally positive risk aversion function, which varies substantially over time and is negatively correlated with the ATM implied volatility.

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Book category Books in English Economics, finance, business & management Economics

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