SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS

THIS PAPER EXTENDS THE SHARPE LINTNER CAPITAL ASSET PRICING MODEL TO INCORPORATE THE EFFECT OF SKEWNESS OF VALUATION. EMPIRICAL EVIDENCE IS PRESENTED THAT IS CONSISTENT WITH A THREE MOMENT VALUATION MODEL. INVESTORS ARE FOUND TO HAVE AN AVERSION TO VARIANCE AND A PREFERENCE FOR POSITIVE SKEWNESS. TH...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	The Journal of finance (New York) 1976-09, Vol.31 (4), p.1085-1100
Hauptverfasser:	Kraus, Alan, Litzenberger, Robert H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Assets Capital asset pricing models Capital assets Financial portfolios Investment return rates Investment risk Investors Market prices Mathematical moments Preferences Risk Risk aversion Skewed distribution Utility functions Valuation
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!