Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity

How do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling...

Descripción completa

Detalles Bibliográficos
Autores: Nave Pineda, Juan M., Rubio Irigoyen, Gonzalo, González Sánchez, Mariano
Tipo de recurso: artículo
Fecha de publicación:2020
País:España
Institución:Universidad Nacional de Educación a Distancia
Repositorio:e-spacio. Repositorio Institucional de la UNED
Idioma:inglés
OAI Identifier:oai:e-spacio.uned.es:20.500.14468/11919
Acceso en línea:https://hdl.handle.net/20.500.14468/11919
Access Level:acceso abierto
Palabra clave:Low-frequency component
High-frequency component
Uncertainty
Risk aversion
Investment-style factors
id ES_7e1c569bb3566e0c48579fe4e7ddcdf4
oai_identifier_str oai:e-spacio.uned.es:20.500.14468/11919
network_acronym_str ES
network_name_str España
repository_id_str
spelling Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activityNave Pineda, Juan M.Rubio Irigoyen, GonzaloGonzález Sánchez, MarianoLow-frequency componentHigh-frequency componentUncertaintyRisk aversionInvestment-style factorsHow do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling decomposition of the sensitivity of factor returns to real activity into high- and lowfrequency components. We find a positive and significant relation between uncertainty and risk aversion for the low-frequency component of the sensitivity of factor returns to economic activity. More importantly, risk aversion significantly amplifies the effects of uncertainty on real activity exposure. The quality-based factor is an important exception to these findings.Elseviere-Spacio UNED20242024-05-2020202020-01-0120202020-01-01journal articlehttp://purl.org/coar/resource_type/c_6501info:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/20.500.14468/11919reponame:e-spacio. Repositorio Institucional de la UNEDinstname:Universidad Nacional de Educación a DistanciaInglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/4.0/deed.esoai:e-spacio.uned.es:20.500.14468/119192026-06-06T12:38:31Z
dc.title.none.fl_str_mv Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
title Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
spellingShingle Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
Nave Pineda, Juan M.
Low-frequency component
High-frequency component
Uncertainty
Risk aversion
Investment-style factors
title_short Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
title_full Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
title_fullStr Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
title_full_unstemmed Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
title_sort Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity
dc.creator.none.fl_str_mv Nave Pineda, Juan M.
Rubio Irigoyen, Gonzalo
González Sánchez, Mariano
author Nave Pineda, Juan M.
author_facet Nave Pineda, Juan M.
Rubio Irigoyen, Gonzalo
González Sánchez, Mariano
author_role author
author2 Rubio Irigoyen, Gonzalo
González Sánchez, Mariano
author2_role author
author
dc.contributor.none.fl_str_mv e-Spacio UNED
dc.subject.none.fl_str_mv Low-frequency component
High-frequency component
Uncertainty
Risk aversion
Investment-style factors
topic Low-frequency component
High-frequency component
Uncertainty
Risk aversion
Investment-style factors
description How do uncertainty and risk aversion affect the behavior of investment-style factors? We argue that a significant channel through which both uncertainty and risk aversion impact aggregate risk factors is the exposure of factor returns to real activity. We analyze this issue using mixed data sampling decomposition of the sensitivity of factor returns to real activity into high- and lowfrequency components. We find a positive and significant relation between uncertainty and risk aversion for the low-frequency component of the sensitivity of factor returns to economic activity. More importantly, risk aversion significantly amplifies the effects of uncertainty on real activity exposure. The quality-based factor is an important exception to these findings.
publishDate 2020
dc.date.none.fl_str_mv 2020
2020-01-01
2020
2020-01-01
2024
2024-05-20
dc.type.none.fl_str_mv journal article
http://purl.org/coar/resource_type/c_6501
dc.type.openaire.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14468/11919
url https://hdl.handle.net/20.500.14468/11919
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.es
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:e-spacio. Repositorio Institucional de la UNED
instname:Universidad Nacional de Educación a Distancia
instname_str Universidad Nacional de Educación a Distancia
reponame_str e-spacio. Repositorio Institucional de la UNED
collection e-spacio. Repositorio Institucional de la UNED
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869411712728301568
score 15.811543

Similares en LA Referencia