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Articles (2023), Finance, Forthcoming

Valuing downside risk on international stock markets

TÉDONGAP Roméo , HIKOUATCHA Prince

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

TÉDONGAP, R. and HIKOUATCHA, P. (2023). Valuing downside risk on international stock markets. Finance, Forthcoming.

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