Skewness and its impact on financial markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Mannheim
2015
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xii, 168 Seiten Diagramme |
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Record in the Search Index
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| adam_text | Contents
List of Figures viii
List of Tables x
1 General Introduction 1
1.1 General Introduction................................................. 1
1.1.1 Motivation.................................................... 1
1.1.2 Choice under Risk ............................................ 6
1.1.3 Skewness..................................................... 11
1.1.4 Outline of the Thesis and Main Results....................... 12
2 Skewness Preference and the Continuation of Returns 21
2.1 Introduction and Related Literature................................. 21
2.1.1 Introduction................................................. 21
2.1.2 Related Literature........................................... 24
2.2 Cumulative Prospect Theory and Skewness Preference ................. 25
2.2.1 Cumulative Prospect Theory................................... 25
2.2.2 The Skew Normal Distribution ........................... 30
2.2.3 Cumulative Prospect Theory and Perceived Moments............. 37
2.3 The Model........................................................... 46
2.3.1 Portfolio Choice with a Skewed Asset........................ 46
2.3.2 Inferring Skewness from Past Payoffs......................... 51
2.4 Numerical Exercise.................................................... 56
2.5 Conclusion............................................................ 58
3 Expected Skewness and Momentum 62
3.1 Introduction.......................................................... 62
3.2 Empirical Analysis.................................................... 69
3.2.1 Data and Methodology........................................... 69
3.2.2 Baseline Results............................................... 73
3.2.3 How Risky is Skewness-enhanced Momentum?............ 76
3.2.4 Are Findings Attributable to Differences in Firm Characteristics? 82
3.2.5 Further Robustness Checks ..................................... 87
3.2.5.1 Alternative Sorting Method............................ 87
3.2.5.2 Portfolio Tests to Control for Volatility and Past Returns 87
3.2.5.3 Alternative Skewness Measure.......................... 90
3.2.5.4 Subperiod Analysis and Different Holding Periods ... 90
3.2.5.5 Implementation Costs.................................. 92
3.2.6 International Evidence......................................... 94
3.3 Consistency with Models of Momentum................................... 98
3.4 Conclusion............................................................103
4 Risk Preferences in Germany and in the United States 104
4.1 Review of Cumulative Prospect Theory..................................113
4.2 Experimental Design...................................................115
4.3 Elicitation Method....................................................118
4.4 Results...............................................................121
4.4.1 Descriptive Statistics.........................................121
4.4.2 Maximum Likelihood Analysis....................................125
4.4.3 Differences in Risk Aversion...................................127
4.4.4 Differences in Probability Weighting ..........................130
4.4.5 Differences in Loss Aversion
4.4.6 Robustness Test............
4.5 Discussion ....
4.6 Conclusion ....
Bibliography Appendix A Chapter 2 Appendix B Chapter 3
Appendix C Chapter 4
Vil
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| spelling | Regele, Tobias Ulrich Joachim 1986- Verfasser (DE-588)1083016040 aut Skewness and its impact on financial markets Tobias Ulrich Joachim Regele Mannheim 2015 xii, 168 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Universität Mannheim 2015 Risikoanalyse (DE-588)4137042-9 gnd rswk-swf Entscheidungsfindung (DE-588)4113446-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Gewinn (DE-588)4020903-9 gnd rswk-swf Erwartung (DE-588)4015434-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalmarkt (DE-588)4029578-3 s Entscheidungsfindung (DE-588)4113446-1 s Risikoanalyse (DE-588)4137042-9 s Gewinn (DE-588)4020903-9 s Erwartung (DE-588)4015434-8 s DE-604 Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028925875&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Regele, Tobias Ulrich Joachim 1986- Skewness and its impact on financial markets Risikoanalyse (DE-588)4137042-9 gnd Entscheidungsfindung (DE-588)4113446-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Gewinn (DE-588)4020903-9 gnd Erwartung (DE-588)4015434-8 gnd |
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| title | Skewness and its impact on financial markets |
| title_auth | Skewness and its impact on financial markets |
| title_exact_search | Skewness and its impact on financial markets |
| title_full | Skewness and its impact on financial markets Tobias Ulrich Joachim Regele |
| title_fullStr | Skewness and its impact on financial markets Tobias Ulrich Joachim Regele |
| title_full_unstemmed | Skewness and its impact on financial markets Tobias Ulrich Joachim Regele |
| title_short | Skewness and its impact on financial markets |
| title_sort | skewness and its impact on financial markets |
| topic | Risikoanalyse (DE-588)4137042-9 gnd Entscheidungsfindung (DE-588)4113446-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Gewinn (DE-588)4020903-9 gnd Erwartung (DE-588)4015434-8 gnd |
| topic_facet | Risikoanalyse Entscheidungsfindung Kapitalmarkt Gewinn Erwartung Hochschulschrift |
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