Valuing downside risk on international stock markets

Recent and growing asset pricing literature identifies downside risk factors in an economy where the representative investor has generalized disappointment aversion (GDA) preferences. We investigate and find that global GDA factors are statistically signi Lien vers l'article

HIKOUATCHA, P. and TÉDONGAP, R. (2022). Valuing downside risk on international stock markets. Finance, In press.

Mots clés : #General-Disappointment-Aversion, #Downside-risk, #International-Asset-Pricing, #Covid, #19