Determinants of Financial vs. Non Financial Stock Returns: Evidence from Istanbul Stock Exchange

We estimate a four-factor model for a sample of financial and nonfinancial firms traded on the Istanbul Stock Exchange (ISE). The factors relate to market return, interest, inflation and exchange rates. By investigating the effects of these factors simultaneously for different exchange rate regimes, we show that market return, interest, inflation, and exchange rates play a separate role in financial and nonfinancial firms´ stock returns. We also show that all factors are priced during the period of free float. These results are important for determining financial institutions' cost of capital and for identifying the risks that should be hedged

Proper and Standard Risk Aversion in Two-Moment Decision Models

For linear distribution classes, mean-variance and expected utility specifications have been shown in the literature to be fully compatible when studying the concepts of risk aversion, prudence, risk vulnerability and temperance. This paper shows that such compatibility does hold for the concept of standard risk aversion but not for the concepts of proper risk aversion and proper prudence. Copyright Springer 2004mean-variance preferences, proper risk aversion, standard risk aversion,

Unexpected inflation and bank stock returns, the case of France 1977-1991

SIGLEAvailable at INIST (FR), Document Supply Service, under shelf-number : DO 4394 / INIST-CNRS - Institut de l'Information Scientifique et TechniqueFRFranc

Parametric characterizations of risk aversion and prudence

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9512(1650) / BLDSC - British Library Document Supply CentreGBUnited Kingdo

On Uniqueness of Equilibria in the CAPM

"- This paper replaces the paper ""Existence and Uniqueness of Equilibria in the CAPM"" -nIn the standard CAPM with a riskless asset we give a sufficient condition for uniqueness. This condition is a joint restriction on the agents' endowments and their preferences which is compatible with non-increasing absolute risk aversion and which is in particular satisfied with constant absolute risk aversion. Moreover in the CAPM without a riskless asset we give an example for multiple equilibria even though all agents have constant absolute risk aversion.

Lattices and Lotteries in Apportioning Risk

Although risk aversion has been used in economic models for over 275 years, the past few decades have shown how higher order risk attitudes are also quite important. A behavioral approach to defining such risk attitudes was developed by Eeckhoudt and Schlesinger (2006), based upon simple lottery preference. This article show how the mathematics of lattice theory can be used to model these lottery preferences. In addition to modeling a simple lattice structure, I show how such lattices can be extended in order to develop a better understanding of higher order risk attitudes