Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "14633"
  #_source: array:26 [
    "id" => "14633"
    "slug" => "investigating-the-impact-of-consumption-distribution-on-crra-estimation-quantile-ccapm-based-approach"
    "yearMonth" => "2024-01"
    "year" => "2024"
    "title" => "Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach"
    "description" => "RAMOS, S., TAAMOUTI, A. et VEIGA, H. (2024). Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach. <i>Studies in Nonlinear Dynamics and Econometrics</i>, In press."
    "authors" => array:3 [
      0 => array:3 [
        "name" => "RAMOS Sofia"
        "bid" => "B00683001"
        "slug" => "ramos-sofia"
      ]
      1 => array:1 [
        "name" => "TAAMOUTI Abderrahim"
      ]
      2 => array:1 [
        "name" => "VEIGA Helena"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "CCAPM"
      1 => "consumption volatility"
      2 => "downside risk aversion"
      3 => "quantile-based Euler equation"
      4 => "risk aversion"
      5 => "stochastic volatility"
    ]
    "updatedAt" => "2024-01-15 13:44:09"
    "publicationUrl" => "https://www.degruyter.com/document/doi/10.1515/snde-2023-0005/html"
    "publicationInfo" => array:3 [
      "pages" => ""
      "volume" => "In press"
      "number" => ""
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Using quantile maximization decision theory, this paper considers a quantile-based Euler equation that states that the asset price is a function of the quantiles of the payoff, consumption growth, the stochastic discount factor, risk aversion, and the distribution of the consumption growth rate. We use a more general distribution assumption (log-elliptical distributions) than the log-normality of the consumption growth rate assumed in the literature. The simulation results show that: (1) the higher the downside risk aversion, the lower the constant relative risk aversion; (2) the heavier the tails of the Student-t distribution, the higher the risk aversion for each level of downside risk aversion; and (3) the curve of the relationship between risk aversion and downside risk aversion shifts upward when the normality assumption is dropped, and the magnitude of this shift is high even for high degrees of freedom of the Student-t distribution. Our results suggest that using normally distributed errors to model stock returns and consumption growth rates could lead to an underestimation of the risk aversion coefficient."
      "en" => "Using quantile maximization decision theory, this paper considers a quantile-based Euler equation that states that the asset price is a function of the quantiles of the payoff, consumption growth, the stochastic discount factor, risk aversion, and the distribution of the consumption growth rate. We use a more general distribution assumption (log-elliptical distributions) than the log-normality of the consumption growth rate assumed in the literature. The simulation results show that: (1) the higher the downside risk aversion, the lower the constant relative risk aversion; (2) the heavier the tails of the Student-t distribution, the higher the risk aversion for each level of downside risk aversion; and (3) the curve of the relationship between risk aversion and downside risk aversion shifts upward when the normality assumption is dropped, and the magnitude of this shift is high even for high degrees of freedom of the Student-t distribution. Our results suggest that using normally distributed errors to model stock returns and consumption growth rates could lead to an underestimation of the risk aversion coefficient."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-03T17:21:44.000Z"
    "docTitle" => "Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/ramos-sofia">RAMOS Sofia</a>, TAAMOUTI Abderrahim, VEIGA Helena"
    "docDescription" => "<span class="document-property-authors">RAMOS Sofia, TAAMOUTI Abderrahim, VEIGA Helena</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2024</span>"
    "keywordList" => "<a href="#">CCAPM</a>, <a href="#">consumption volatility</a>, <a href="#">downside risk aversion</a>, <a href="#">quantile-based Euler equation</a>, <a href="#">risk aversion</a>, <a href="#">stochastic volatility</a>"
    "docPreview" => "<b>Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach</b><br><span>2024-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://www.degruyter.com/document/doi/10.1515/snde-2023-0005/html" target="_blank">Investigating the impact of consumption distribution on CRRA estimation: Quantile-CCAPM-based approach</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.684266
  +"parent": null
}