Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Econometrica ◽  
1989 ◽  
Vol 57 (4) ◽  
pp. 937 ◽  
Author(s):  
Larry G. Epstein ◽  
Stanley E. Zin
Keyword(s):  
Risk Aversion ◽  
Asset Returns ◽  
Theoretical Framework ◽  
Temporal Behavior

Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns

1983 ◽  
Vol 91 (2) ◽  
pp. 249-265 ◽  
Author(s):  
Lars Peter Hansen ◽  
Kenneth J. Singleton
Keyword(s):  
Risk Aversion ◽  
Asset Returns ◽  
Temporal Behavior ◽  
Consumption Risk

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.

scholarly journals Instability of Financial Markets and Preference Heterogeneity

2010 ◽  
Vol 2010 ◽  
pp. 1-27 ◽  
Author(s):  
Günter Franke ◽  
Erik Lüders
Keyword(s):  
Relative Risk ◽  
Risk Aversion ◽  
Financial Markets ◽  
Rational Expectations ◽  
Asset Returns ◽  
Preference Heterogeneity ◽  
Relative Risk Aversion ◽  
Heterogeneous Preferences ◽  
Market Crashes ◽  
Intertemporal Asset Pricing

This paper presents a simple rational expectations model of intertemporal asset pricing relating instability of stock return characteristics to heterogeneity in investor preferences. Heterogeneity is likely to generate declining aggregate relative risk aversion. This leads to variability in expected asset returns, volatility, and autocorrelation. The stronger this variability is, the more heterogeneous preferences are, implying more instability of financial markets. Stock market crashes may be observed if relative risk aversion differs strongly across investors.

scholarly journals The value of values in business purchase decisions

2020 ◽  
Vol 35 (8) ◽  
pp. 1323-1334 ◽  
Author(s):  
Ehtisham Anwer ◽  
Sameer Deshpande ◽  
Robbin Derry ◽  
Debra Z. Basil
Keyword(s):  
Risk Aversion ◽  
Positive Relationship ◽  
Theoretical Framework ◽  
Actual Behavior ◽  
Purchase Decisions ◽  
Convenience Sample ◽  
Content Type ◽  
Values Congruency ◽  
Buying Organizations

Purpose The purpose of this study is to develop and test a theoretical framework to examine business purchase decisions using the concept of “values” (personal values (PV), organizational values (OV) and values-congruency). Design/methodology/approach The data for the study were collected from members of the Supply Chain Management Association of Canada. The relationships between perceived PV/OV/ values-congruency (IVs) and perceived role values played in business purchase decisions (DV) were hypothesized. Three factors, namely, humanity, bottomline and convention were identified using exploratory factor analysis. The hypotheses were tested using polynomial regression, which is a preferred method for measuring congruency or fit (Edwards, 1994). Findings Perceived humanity (humaneness or benevolence) values of an organization were found to have a positive relationship with the perceived role that humanity and convention (risk aversion or compliance) values played in business purchase decisions. Perceived purchase function formalization within buying organizations was also found to have a positive relationship with the perceived role of humanity, bottomline and convention values played in business purchase decisions. Research limitations/implications The study drew a relatively small convenience sample from a single industry association/country with a low response rate. It used the perceived role of values instead of behavioral intention or actual behavior to measure business purchasing behavior. McDonald and Gandz’s (1991; 1993) list of values may be more suitable to measure OV than PV. The study only considered the buyer side of purchase decisions and values to have positive characteristics. Practical implications Buying organizations may consider formalizing their purchase functions, clarifying their humaneness/benevolence and risk aversion/compliance values to their employees and vendors and incorporating them in the purchasing criteria/process. Similarly, selling organizations may benefit from considering these values of customers to position their products and services for better sales outcomes and business relationships. Originality/value The study explores the role of values in business purchase contexts by proposing and testing a theoretical framework. The study has implications for practitioners and academics in the field and identifies several areas for future research.

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