Market price of risk estimation: Does distribution matter?

Panayiotis Theodossiou and Christos Savva

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 21, 7413-7432

Abstract: The econometric framework of the contemporaneous asset pricing model used by Theodossiou and Savva and Savva and Theodossiou to investigate the relationship between risk and expected returns in financial markets is generalized to a class of two-sided, asymmetry separable distributions. The latter class of distributions includes as special cases the skewed forms for the normal, Student’s t, Laplace, generalized error, generalized t, logistic and generalized type III logistic. All distributions document a positive and statistically significant relationship between risk and expected returns. A comparison of their data fitting ability shows that the generalized t distribution provides the best overall results.

Date: 2022
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03610926.2021.1872643 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:51:y:2022:i:21:p:7413-7432

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/lsta20

DOI: 10.1080/03610926.2021.1872643

Access Statistics for this article

Communications in Statistics - Theory and Methods is currently edited by Debbie Iscoe

More articles in Communications in Statistics - Theory and Methods from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().