Generalized Systematic Risk

• 成果类型: Article
• 署名作者: Kadan, Ohad; Liu, Fang; Liu, Suying
• 署名单位: Washington University (WUSTL); Cornell University
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.20140244
• 发表日期: 2016
• 页码: 86-127
• 关键词: variable rare disasters; skewness preference; Market equilibrium; portfolio analysis; unique procedure; asset returns; 10 puzzles; prices; allocation; riskiness

摘要

We generalize the concept of systematic risk to a broad class of risk measures potentially accounting for high distribution moments, downside risk, rare disasters, as well as other risk attributes. We offer two different approaches. First is an equilibrium framework generalizing the Capital Asset Pricing Model, two-fund separation, and the security market line. Second is an axiomatic approach resulting in a systematic risk measure as the unique solution to a risk allocation problem. Both approaches lead to similar results extending the traditional beta to capture multiple dimensions of risk. The results lend themselves naturally to empirical investigation.