Risk Taking in Asymmetric
نویسندگان
چکیده
In an asymmetric tournament model with endogenous risk choice by the agents it is shown that equilibrium efforts decrease (increase) with risk if abilities are sufficiently similar (different). Risk also affects winning probabilities. The interaction of both effects is analyzed. JEL classification: D23, J3, M12.
منابع مشابه
Investigating the effect of ownership structure on banks' risk-taking behavior
The ownership structure is one of the important issues of corporate governance that can affect the efficiency of companies by influencing managerial motivations. The aim of the present study is to investigate the asymmetric effect of ownership structure on bankschr('39') risk-taking behavior. The present study was conducted using the information of twenty-one banks listed on the Tehran Security...
متن کاملThe Impact of Asymmetric Risk on Expected Return
The main goal of the present study is testing asymmetric risk pricing and comparing it with pricing of traditional risk measures in Tehran Stock Market. Accordingly, a sample consisting of 101 companies listed in Tehran Stock Market during 2002-2013 went under investigation. In order to test asymmetric risk pricing, regression model of panel data was applied. The results revealed a positive and...
متن کاملHigher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution
The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distributed (CAPM-IIAPD) and capital asset pricing model with asymmetric independent and identically a...
متن کاملTesting for Asymmetric Information in Automobile Insurance Market an Iranian Insurance Company
The presence of asymmetric information is an important source of efficiency loss for insurance companies and could reduce profitability. In this paper, we test the conditional independence of coverage choice and risk, where “conditional” means conditional on all variables observed by the insurer. We use two parametric methods: a pair of probits and a bivariate probit model. The data includes al...
متن کاملDeveloping Non-linear Dynamic Model to Estimate Value at Risk, Considering the Effects of Asymmetric News: Evidence from Tehran Stock Exchange
Empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. That is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of VaR. Copula theo...
متن کامل