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Title: Market price of risk estimation: Does distribution matter?
Authors: Theodossiou, Panayiotis 
Savva, Christos S. 
Major Field of Science: Social Sciences
Field Category: Economics and Business
Keywords: Generalized error distribution;Generalized t;Laplace;Risk premium;Two-sided distributions;Type III logistic
Issue Date: 2021
Source: Communications in Statistics - Theory and Methods, 2021
Journal: Communications in Statistics - Theory and Methods 
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.
ISSN: 1532-415X
DOI: 10.1080/03610926.2021.1872643
Rights: © Taylor and Francis
Attribution-NonCommercial-NoDerivatives 4.0 International
Type: Article
Affiliation : Cyprus University of Technology 
Appears in Collections:Άρθρα/Articles

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