Comparing Entropy and Beta as Measures of Risk in Asset Pricing

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Comparing Entropy and Beta as Measures of Risk in Asset Pricing

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comparing Entropy and Beta as Measures of Risk in Asset Pricing

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50600 - Political science

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2017

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

65

Číslo periodika v rámci svazku

6

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

6

Strana od-do

1889-1894

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85038837794