Journal article
Stochastic dominance and behavior towards risk: The market for Ishares
Annals of Financial Economics, Vol.7(1), pp.1250005-1
2012
Abstract
Prospect theory suggests that risk seeking can occur when investors face losses and thus an S-shaped utility function can be useful in explaining investor behavior. Using stochastic dominance procedures, Post and Levy (2005) find evidence of reverse S-shaped utility functions. This is consistent with investors exhibiting risk-seeking tendencies in bull markets and risk aversion in bear markets. We use both ascending and descending stochastic dominance procedures to test for risk-averse and risk-seeking behavior. By partitioning iShares ’ return distributions into negative and positive return regions, we find evidence of all four utility functions: concave, convex, S-shaped and reverse S-shaped
Details
- Title
- Stochastic dominance and behavior towards risk: The market for Ishares
- Authors/Creators
- D. Gasbarro (Author/Creator) - Murdoch UniversityW-K Wong (Author/Creator) - Hong Kong Baptist UniversityJ.K. Zumwalt (Author/Creator) - Colorado State University
- Publication Details
- Annals of Financial Economics, Vol.7(1), pp.1250005-1
- Publisher
- World Scientific
- Identifiers
- 991005543998107891
- Copyright
- World Scientific Publishing Company
- Murdoch Affiliation
- Do not use- Former Murdoch Business School
- Language
- English
- Resource Type
- Journal article
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