Matches in SemOpenAlex for { <https://semopenalex.org/work/W3033405909> ?p ?o ?g. }
Showing items 1 to 65 of
65
with 100 items per page.
- W3033405909 abstract "We study an equilibrium risk and return model to explore the effects of the coronavirus crisis and associated skewness. We derive the moment and equilibrium equations, specifying skew-ness 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 1990 to mid-May 2020, our results show that the coronavirus crisis generated the most negative reaction in the skewness price of risk, more negative even than the subprime crisis." @default.
- W3033405909 created "2020-06-12" @default.
- W3033405909 creator A5016348980 @default.
- W3033405909 creator A5055090810 @default.
- W3033405909 creator A5090020750 @default.
- W3033405909 date "2020-06-04" @default.
- W3033405909 modified "2023-09-26" @default.
- W3033405909 title "A Coronavirus Asset Pricing Model: The Role of Skewness" @default.
- W3033405909 hasPublicationYear "2020" @default.
- W3033405909 type Work @default.
- W3033405909 sameAs 3033405909 @default.
- W3033405909 citedByCount "0" @default.
- W3033405909 crossrefType "posted-content" @default.
- W3033405909 hasAuthorship W3033405909A5016348980 @default.
- W3033405909 hasAuthorship W3033405909A5055090810 @default.
- W3033405909 hasAuthorship W3033405909A5090020750 @default.
- W3033405909 hasConcept C121332964 @default.
- W3033405909 hasConcept C121955636 @default.
- W3033405909 hasConcept C122342681 @default.
- W3033405909 hasConcept C1276947 @default.
- W3033405909 hasConcept C149782125 @default.
- W3033405909 hasConcept C162324750 @default.
- W3033405909 hasConcept C181236170 @default.
- W3033405909 hasConcept C196083921 @default.
- W3033405909 hasConcept C33923547 @default.
- W3033405909 hasConcept C43694697 @default.
- W3033405909 hasConcept C43711488 @default.
- W3033405909 hasConceptScore W3033405909C121332964 @default.
- W3033405909 hasConceptScore W3033405909C121955636 @default.
- W3033405909 hasConceptScore W3033405909C122342681 @default.
- W3033405909 hasConceptScore W3033405909C1276947 @default.
- W3033405909 hasConceptScore W3033405909C149782125 @default.
- W3033405909 hasConceptScore W3033405909C162324750 @default.
- W3033405909 hasConceptScore W3033405909C181236170 @default.
- W3033405909 hasConceptScore W3033405909C196083921 @default.
- W3033405909 hasConceptScore W3033405909C33923547 @default.
- W3033405909 hasConceptScore W3033405909C43694697 @default.
- W3033405909 hasConceptScore W3033405909C43711488 @default.
- W3033405909 hasLocation W30334059091 @default.
- W3033405909 hasOpenAccess W3033405909 @default.
- W3033405909 hasPrimaryLocation W30334059091 @default.
- W3033405909 hasRelatedWork W1510564770 @default.
- W3033405909 hasRelatedWork W1531234630 @default.
- W3033405909 hasRelatedWork W1795666867 @default.
- W3033405909 hasRelatedWork W1832389586 @default.
- W3033405909 hasRelatedWork W1998968611 @default.
- W3033405909 hasRelatedWork W2011048837 @default.
- W3033405909 hasRelatedWork W2069746716 @default.
- W3033405909 hasRelatedWork W2099091281 @default.
- W3033405909 hasRelatedWork W2116895053 @default.
- W3033405909 hasRelatedWork W2131196290 @default.
- W3033405909 hasRelatedWork W2131597800 @default.
- W3033405909 hasRelatedWork W2212974670 @default.
- W3033405909 hasRelatedWork W2218977391 @default.
- W3033405909 hasRelatedWork W2290962734 @default.
- W3033405909 hasRelatedWork W2733307128 @default.
- W3033405909 hasRelatedWork W2773758037 @default.
- W3033405909 hasRelatedWork W3121751605 @default.
- W3033405909 hasRelatedWork W3122981509 @default.
- W3033405909 hasRelatedWork W3141910461 @default.
- W3033405909 hasRelatedWork W975545467 @default.
- W3033405909 isParatext "false" @default.
- W3033405909 isRetracted "false" @default.
- W3033405909 magId "3033405909" @default.
- W3033405909 workType "article" @default.