Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "1028"
#_source: array:26 [
"id" => "1028"
"slug" => "1028-downside-risks-and-the-cross-section-of-asset-returns"
"yearMonth" => "2018-07"
"year" => "2018"
"title" => "Downside Risks and the Cross-Section of Asset Returns"
"description" => "FARAGO, A. et TÉDONGAP, R. (2018). Downside Risks and the Cross-Section of Asset Returns. <i>Journal of Financial Economics</i>, 129(1), pp. 69-86. 
FARAGO, A. et TÉDONGAP, R. (2018). Downside Risks and the Cross-Section of Asset Returns. <i>Journal "
"authors" => array:2 [
0 => array:3 [
"name" => "TÉDONGAP Roméo"
"bid" => "B00693411"
"slug" => "tedongap-romeo"
]
1 => array:1 [
"name" => "FARAGO A."
]
]
"ouvrage" => ""
"keywords" => array:3 [
0 => "Generalized disappointment aversion"
1 => "Downside risks"
2 => "Cross-section"
]
"updatedAt" => "2021-09-24 10:33:27"
"publicationUrl" => "https://www.sciencedirect.com/science/article/abs/pii/S0304405X18300813"
"publicationInfo" => array:3 [
"pages" => "69-86"
"volume" => "129"
"number" => "1"
]
"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" => "In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature. In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing m "
"en" => "In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing macroeconomic uncertainty, we show that besides the market return and market volatility, three disappointment-related factors are also priced: a downstate factor, a market downside factor, and a volatility downside factor. We find that expected returns on various asset classes reflect premiums for bearing undesirable exposures to these factors. The signs of estimated risk premiums are consistent with the theoretical predictions. Our most general, five-factor model is very successful in jointly pricing stock, option, and currency portfolios, and provides considerable improvement over nested specifications previously discussed in the literature. In an intertemporal equilibrium asset pricing model featuring disappointment aversion and changing m "
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-04-04T07:21:39.000Z"
"docTitle" => "Downside Risks and the Cross-Section of Asset Returns"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/tedongap-romeo">TÉDONGAP Roméo</a>, FARAGO A."
"docDescription" => "<span class="document-property-authors">TÉDONGAP Roméo, FARAGO A.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2018</span> <span class="document-property-authors">TÉDONGAP Roméo, FARAGO A.</span><br><span class="document-pr "
"keywordList" => "<a href="#">Generalized disappointment aversion</a>, <a href="#">Downside risks</a>, <a href="#">Cross-section</a> <a href="#">Generalized disappointment aversion</a>, <a href="#">Downside risks</a>, <a href="#">Cro "
"docPreview" => "<b>Downside Risks and the Cross-Section of Asset Returns</b><br><span>2018-07 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://www.sciencedirect.com/science/article/abs/pii/S0304405X18300813" target="_blank">Downside Risks and the Cross-Section of Asset Returns</a> <a href="https://www.sciencedirect.com/science/article/abs/pii/S0304405X18300813" target="_blank">Do "
]
+lang: "fr"
+"_type": "_doc"
+"_score": 9.138773
+"parent": null
}
