¿Does risk aversion affects expected stock returns?
| Professor Advisor | dc.contributor.advisor | Hansen Silva, Erwin | |
| Author | dc.contributor.author | Cabrera Guzmán, Gabriel | |
| Admission date | dc.date.accessioned | 2020-03-05T15:09:43Z | |
| Available date | dc.date.available | 2020-03-05T15:09:43Z | |
| Publication date | dc.date.issued | 2019-04 | |
| Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/173521 | |
| General note | dc.description | TESIS PARA OPTAR AL GRADO DE MAGISTER EN FINANZAS | es_ES |
| Abstract | dc.description.abstract | We estimate an aggregate time-varying risk aversion function using option, stock return and macroeconomic data for a sample of 8 countries. We document that, in most of the countries, the degree of risk aversion is countercyclical. Moreover, we show that the estimated risk aversion function forecasts monthly stock index returns up to 12 months ahead. This effect is statistically significant in panel regressions, and it survives the inclusion of additional control variables. | es_ES |
| Lenguage | dc.language.iso | en | es_ES |
| Publisher | dc.publisher | Universidad de Chile | es_ES |
| Type of license | dc.rights | Attribution-NonCommercial-NoDerivs 3.0 Chile | * |
| Link to License | dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ | * |
| Keywords | dc.subject | Acciones. | es_ES |
| Keywords | dc.subject | Riesgo financiero | es_ES |
| Area Temática | dc.subject.other | Finanzas | es_ES |
| Título | dc.title | ¿Does risk aversion affects expected stock returns? | es_ES |
| Document type | dc.type | Tesis | |
| Cataloguer | uchile.catalogador | msa | es_ES |
| Department | uchile.departamento | Escuela de Postgrado | es_ES |
| Faculty | uchile.facultad | Facultad de Economía y Negocios | es_ES |
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Except where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivs 3.0 Chile