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Doctoral thesis
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Analyzing semi-variances at individual level: the pricing, risk premiums, and their relation to stock return

Other titleAnalyse des semi-variances au niveau individuel : tarification, primes de risque et leur relation avec le rendement des actions
ContributorsAnisimov, Evgenii
Imprimatur date2023
Defense date2023
Abstract

In Chapter 1, I explain the prices of semi-variances at the individual stock level using model-free semi-variance indices. In Chapter 2, I quantify downside and upside semi-variance risk premiums for stocks with a model-free and fully tradable approach. I show that these premiums have opposite signs, contrasting magnitudes, and exhibit different variation patterns. In Chapter 3, I study the relationship between the semi-variance risk premiums and stock returns. I report the differential impact of the semi-variance risk premiums on stock returns. My results imply the need to analyze downside and upside semi-variance risks separately.

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Citation (ISO format)
ANISIMOV, Evgenii. Analyzing semi-variances at individual level: the pricing, risk premiums, and their relation to stock return. 2023. doi: 10.13097/archive-ouverte/unige:172930
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Creation11/12/2023 7:33:17 PM
First validation11/14/2023 10:34:52 AM
Update time11/14/2023 10:34:52 AM
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