Risk Aversion with Local Risk Seeking and Stock Returns: Evidence from the UK Market
研究英国股市中投资者对损失风险厌恶、对收益风险寻求的偏好是否产生溢价，发现做多低下行风险高上行潜力股票、做空高下行风险低上行潜力股票的套利组合月溢价达2.89%，且不能被传统因子模型解释。
Abstract: Post and Levy (2005) find that investors are risk averse for losses and risk seekers for gains and that stocks which exhibit low risk in bear markets and high potential for gains in bull markets may demand a premium. The present study examines if this type of risk preference creates a premium in UK stock prices using a third‐degree stochastic dominance test. We find that an arbitrage portfolio long on stocks with low past downside risk in bear markets and high past upside potential in bull markets and short on stocks with high past downside risk in bear markets and low past upside potential in bull markets generates a premium of 2.89% per month. This premium cannot be explained by the CAPM or the Fama and French 4‐factor model, but it exhibits significant similarities to the momentum premium.