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Title: The impact of the coronavirus crisis on the market price of risk
Authors: Delis, Manthos D. 
Savva, Christos S. 
Theodossiou, Panayiotis 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Finance;Asset pricing;Risk and return;Skewness;Financial instability;Coronavirus crisis;Subprime crisis
Issue Date: Apr-2021
Source: Journal of Financial Stability, 2021, vol. 53, articl. no. 100840
Volume: 53
Journal: Journal of Financial Stability 
Abstract: We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness on the market price of risk. We derive the moment and equilibrium equations, specifying skewness price of risk as an additive component of the effect of variance on mean expected return. We estimate our model using the flexible skewed generalized error distribution, for which we derive the distribution of returns and the likelihood function. Using S&P 500 Index returns from January 1980 to mid-October 2020, our results show that the coronavirus crisis generated a deeply negative reaction in the skewness and total market price of risk, more negative even than the subprime and the October 1987 crises.
ISSN: 1572-3089
DOI: 10.1016/j.jfs.2020.100840
Rights: © Elsevier
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Montpellier Business School 
Cyprus University of Technology 
Appears in Collections:Άρθρα/Articles

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