Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity

González-Sánchez, Mariano, Nave, Juan y Rubio, Gonzalo . (2020) Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity. Research in International Business and Finance, Volume 53, October 2020, 101236

Ficheros (Some files may be inaccessible until you login with your e-spacio credentials)
Nombre Descripción Tipo MIME Size
Gonzalez_Sanchez_Mariano_The_Effects_Uncertainty.pdf Gonzalez Sanchez_Mariano_The Effects Uncertainty.pdf application/pdf 400.22KB

Título Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
Autor(es) González-Sánchez, Mariano
Nave, Juan
Rubio, Gonzalo
Materia(s) Economía
Abstract How do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling decomposition of the sensitivity of factor returns to real activity into high- and lowfrequency components. We find a positive and significant relation between uncertainty and risk aversion for the low-frequency component of the sensitivity of factor returns to economic activity. More importantly, risk aversion significantly amplifies the effects of uncertainty on real activity exposure. The quality-based factor is an important exception to these findings.
Palabras clave Low-frequency component
High-frequency component
Uncertainty
Risk aversion
Investment-style factors
Editor(es) Elsevier
Fecha 2020
Formato application/pdf
Identificador bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0007
http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Mgonzalez-0007
DOI - identifier https://doi.org/10.1016/j.ribaf.2020.101236
ISSN - identifier 0275-5319
Nombre de la revista Research in International Business and Finance
Número de Volumen 53
Publicado en la Revista Research in International Business and Finance, Volume 53, October 2020, 101236
Idioma eng
Versión de la publicación publishedVersion
Tipo de recurso Article
Derechos de acceso y licencia http://creativecommons.org/licenses/by-nc-nd/4.0
info:eu-repo/semantics/openAccess
Tipo de acceso Acceso abierto
Notas adicionales The registered version of this article, first published in Research in International Business and Finance, is available online at the publisher's website: Elsevier, https://doi.org/10.1016/j.ribaf.2020.101236
Notas adicionales La versión registrada de este artículo, publicado por primera vez en Research in International Business and Finance, está disponible en línea en el sitio web del editor: Elsevier, https://doi.org/10.1016/j.ribaf.2020.101236

 
Versiones
Versión Tipo de filtro
Contador de citas: Google Scholar Search Google Scholar
Estadísticas de acceso: 54 Visitas, 12 Descargas  -  Estadísticas en detalle
Creado: Fri, 12 Jan 2024, 23:01:27 CET