Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs

161 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Stochastic dominance analysis of Asian hedge funds (2008, background): “2 Post and Levy (2005) studied the dominance of assets in the negative and positive domains and concluded that investors are risk-averse in bear markets and risk-seeking in bull markets.”
Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio (2007, background): “…for portfolio choice problems in which infinitely many portfolios can be formed by means of diversification.2 To deal with this problem, Post (2003), Kuosmanen (2004), and Post and Levy (2005) developed linear programming tests for SD efficiency that do account for diversification possibilities.”
Prospect and Markowitz stochastic dominance (2007, methodology): “These days, it is popular to apply SD to explain financial theories and anomalies, for example, McNamara (1998), Post and Levy (2005), Post (2003), Kuosmanen (2004), Fong et al. (2005) and Broll et al. (2006).”
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, unknown): “For example, nonsatiation cannot be imposed by restricting a quadratic polynomial to be monotone increasing and risk aversion cannot be imposed by restricting a cubic polynomial to be globally concave (see Post and Levy (2005) and Post, van Vliet and Levy (2005)).”