Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets

Name: Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets
Author: Ceylan, Özcan

İsim	Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets
Yazar	Ceylan, Özcan
Basım Tarihi:	2021-07
Basım Yeri	- Elsevier
Konu	Financial conventions, Risk aversion dynamics, Variance risk premium
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	1544-6123
Kayıt Numarası	eba37432-777b-43c7-84e9-5761bd4d8e2e
Lokasyon	Hotel Management
Tarih	2021-07
Örnek Metin	This empirical study evaluates risk aversion dynamics in the U.S. and French financial markets in a comparative setting for the period 2000–2016. Key macroeconomic and financial variables that determine the variations in the level of risk aversion in each of the financial markets are estimated to identify the most important variables on which investors focus. The analysis is made for two sub-periods (2000–2008 and 2008–2016) to assess if there has been any significant change in risk aversion dynamics around Lehman Brothers bankruptcy. Results show that there are meaningful similarities and differences among financial markets and through time periods.
DOI	10.1016/j.frl.2020.101804
Cilt	41

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Time-varying risk aversion and its macroeconomic and financial determinants - A comparative analysis in the U.S. and French financial markets

Yazar Ceylan, Özcan

Basım Tarihi 2021-07

Basım Yeri - Elsevier

Konu Financial conventions, Risk aversion dynamics, Variance risk premium

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 1544-6123

Kayıt Numarası eba37432-777b-43c7-84e9-5761bd4d8e2e

Lokasyon Hotel Management

Tarih 2021-07

Örnek Metin This empirical study evaluates risk aversion dynamics in the U.S. and French financial markets in a comparative setting for the period 2000–2016. Key macroeconomic and financial variables that determine the variations in the level of risk aversion in each of the financial markets are estimated to identify the most important variables on which investors focus. The analysis is made for two sub-periods (2000–2008 and 2008–2016) to assess if there has been any significant change in risk aversion dynamics around Lehman Brothers bankruptcy. Results show that there are meaningful similarities and differences among financial markets and through time periods.

DOI 10.1016/j.frl.2020.101804

Cilt 41