Carvalho, Carlos
[VerfasserIn]
;
Cordeiro, Daniel
[Sonstige Person, Familie und Körperschaft];
Ribeiro, Ruy
[Sonstige Person, Familie und Körperschaft];
Zilberman, Eduardo
[Sonstige Person, Familie und Körperschaft]
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 1, 2018 erstellt
Beschreibung:
A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains cross-sectional differences in future returns for portfolios sorted on various characteristics, and helps forecast market and portfolio excess returns out of sample. The relationship between risk appetite and asset prices appears to be mainly explained by simultaneous changes in risk and risk premia