Comparing Entropy and Beta as Measures of Risk in Asset Pricing
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00098500" target="_blank" >RIV/00216224:14560/17:00098500 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.11118/actaun201765061889" target="_blank" >http://dx.doi.org/10.11118/actaun201765061889</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201765061889" target="_blank" >10.11118/actaun201765061889</a>
Alternative languages
Result language
angličtina
Original language name
Comparing Entropy and Beta as Measures of Risk in Asset Pricing
Original language description
The paper establishes entropy as a measure of risk in asset pricing models by comparing its explanatory power with that of classic capital asset pricing model's beta to describe the diversity in expected risk premiums. Three different non-parametric estimation procedures are considered to evaluate financial entropy, namely kernel density estimated Shannon entropy, kernel density estimated Renyi entropy and maximum likelihood Miller-Madow estimated Shannon entropy. The comparison is provided based on the European stock market data, for which the basic risk-return trade-off is generally negative. Kernel density estimated Shannon entropy provides the most efficient results not dependent on the choice of the market benchmark and without imposing any prior model restrictions.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50600 - Political science
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
65
Issue of the periodical within the volume
6
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
6
Pages from-to
1889-1894
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85038837794