All

What are you looking for?

All
Projects
Results
Organizations

Quick search

  • Projects supported by TA ČR
  • Excellent projects
  • Projects with the highest public support
  • Current projects

Smart search

  • That is how I find a specific +word
  • That is how I leave the -word out of the results
  • “That is how I can find the whole phrase”

How to measure risk in asset pricing models: entropy or beta?

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F17%3A00108735" target="_blank" >RIV/00216224:14560/17:00108735 - isvavai.cz</a>

  • Result on the web

    <a href="https://ece.pefka.mendelu.cz/sites/default/files/imce/ECE2017_fin.pdf" target="_blank" >https://ece.pefka.mendelu.cz/sites/default/files/imce/ECE2017_fin.pdf</a>

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    How to measure risk in asset pricing models: entropy or beta?

  • Original language description

    Financial theory borrows scientific methods from natural sciences. In this paper, we consider one of such methods called entropy, which in financial terms can be considered as a measure of risk in asset pricing models. We propose three different non-parametric estimation techniques to estimate financial entropy, the results of which we compare to the CAPM beta based on their explanatory power to describe the diversity in expected risk premiums. 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. Kernel density estimated Rényi entropy and maximum likelihood estimated Shannon entropy also perform better in-sample than the CAPM beta.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

  • OECD FORD branch

    50600 - Political science

Result continuities

  • Project

  • 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

  • Article name in the collection

    Enterprise and Competitive Environment Conference Proceedings

  • ISBN

    9788075094995

  • ISSN

  • e-ISSN

  • Number of pages

    7

  • Pages from-to

    224-230

  • Publisher name

    Mendel University in Brno

  • Place of publication

    Brno

  • Event location

    Brno

  • Event date

    Jan 1, 2017

  • Type of event by nationality

    WRD - Celosvětová akce

  • UT code for WoS article

    000427306200024