Ambiguity Aversion, Risk Aversion, and Asset Pricing

2009 ◽  
Author(s):  
Philipp K. Illeditsch
Keyword(s):  
Asset Pricing ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals Gender Differences in Risk Aversion and Ambiguity Aversion

2009 ◽  
Author(s):  
Lex Borghans ◽  
Bart H.H. Golsteyn ◽  
James Heckman ◽  
Huub Meijers
Keyword(s):  
Gender Differences ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals Gender Differences in Risk Aversion and Ambiguity Aversion

2009 ◽  
Author(s):  
Lex Borghans ◽  
Bart Golsteyn ◽  
James J. Heckman ◽  
Huub Meijers
Keyword(s):  
Gender Differences ◽  
Risk Aversion ◽  
Ambiguity Aversion

scholarly journals Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market

2019 ◽  
Vol 12 (3) ◽  
pp. 149
Author(s):  
Yang ◽  
Nguyen
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Risk Aversion ◽  
Risk Premium ◽  
Asset Returns ◽  
Positive Skewness ◽  
Japanese Stock Market ◽  
Skewness Preference ◽  
Using Data ◽  
Investor Preference

Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets.

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