Do Financial Markets Reward Buying or Selling Insurance and Lottery Tickets?

被引：29
|
作者：
Ilmanen, Antti [1 ]
机构：
[1] AQR Capital Management Europe LLP, London, England
来源：
FINANCIAL ANALYSTS JOURNAL | 2012年 / 68卷 / 05期
关键词：
SKEWNESS PREFERENCE; CROSS-SECTION; RISK; VOLATILITY; RETURN; STOCKS;
D O I：
10.2469/faj.v68.n5.7
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Selling financial investments with insurance or lottery characteristics should earn positive long-run premiums if investors like positive skewness enough to overpay for these characteristics. The empirical evidence is unambiguous: Selling insurance and selling lottery tickets have delivered positive long-run rewards in a wide range of investment contexts. Conversely, buying financial catastrophe insurance and holding speculative lottery-like investments have delivered poor long-run rewards. Thus, bearing small risks is often well rewarded, bearing large risks not.
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页码：26 / 36
页数：11
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