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

Vista sencilla de ítem
dc.contributor.authorNave Pineda, Juan M.
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.contributor.authorGonzález Sánchez, Mariano
dc.date.accessioned2024-05-20T11:24:35Z
dc.date.available2024-05-20T11:24:35Z
dc.date.issued2020
dc.description.abstractHow 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.en
dc.description.versionversión publicada
dc.identifier.doihttps://doi.org/10.1016/j.ribaf.2020.101236
dc.identifier.issn0275-5319
dc.identifier.urihttps://hdl.handle.net/20.500.14468/11919
dc.journal.titleResearch in International Business and Finance
dc.journal.volume53
dc.language.isoen
dc.publisherElsevier
dc.relation.centerFacultad de Ciencias Económicas y Empresariales
dc.relation.departmentEconomía de la Empresa y Contabilidad
dc.rightsinfo:eu-repo/semantics/openAccess
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
dc.subject.keywordsLow-frequency component
dc.subject.keywordsHigh-frequency component
dc.subject.keywordsUncertainty
dc.subject.keywordsRisk aversion
dc.subject.keywordsInvestment-style factors
dc.titleEffects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activityes
dc.typejournal articleen
dc.typeartículoes
dspace.entity.typePublication
relation.isAuthorOfPublication1801f9f2-5927-4817-a82f-3baa664d18e1
relation.isAuthorOfPublication.latestForDiscovery1801f9f2-5927-4817-a82f-3baa664d18e1
Archivos
Bloque original
Mostrando 1 - 1 de 1
Miniatura
Nombre:
Gonzalez_Sanchez_Mariano_The_Effects_Uncertainty.pdf
Tamaño:
400.23 KB
Formato:
Adobe Portable Document Format
Descargar
Colecciones
Artículos y papers