GAUK No. 1188119: Horizon-specific risk, higher moments, and asset prices.
|Řešitel:||Mgr. Josef Kurka|
doc. PhDr. Jozef Baruník Ph.D.
Mgr. Luboš Hanus
|Popis:||Asset pricing traditionally works with information aggregated over horizons, however, investors’ preferences are horizon-specific. Decomposing returns and risk factors to components representing individual horizons may hence provide valuable insights into pricing mechanisms of investors. With increasing size of factor investing literature, the number of factors approximating risk, and possibly explaining the cross-section of returns is growing rapidly. However, most of the factors perform poorly in subsequent out-of-sample testing. Therefore, attention should be turned to theory-based factors approximating the risks such as moments of the return distribution that are found to be priced empirically. We aim to derive an asset pricing model that contains the second, third and fourth centralized moments of returns on aggregate wealth decomposed to the short run and long run components. In addition, we plan to provide empirical evidence that horizon-specific risk from higher moments is priced, and reveal different effects of the moment-based risk factors in the short run, and long run. In addition, we will attempt to quantify differences in investors’ tastes dependent on particular horizon, and particular underlying asset.|
|Práce v rámci grantu:|
|Finance:||Accepted for funding in March 2019.|
Frequency-Dependent Higher Moment Risks