Listar Departament: Finances i Comptabilitat por autoría "6d93abf0-2318-4342-b3fb-a4a3df0dc647"
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Market risk aversion under volatility shifts: An experimental study
Elsevier (2022-03-15)We propose an experiment to analyze the relationship between volatility regimes and investors’ behavior and explore the mechanism by which aggregated risk aversion is configured. We design a market in which the volatility ... -
The time-varying risk–return trade-off and its explanatory and predictive factors
Elsevier (2023)We analyze the intertemporal dimension of the risk–return trade-off and determine the drivers that better explain and predict its evolution. To this end, we propose a novel estimate of the relationship between return and ...
