Huang, James and Stapleton, Richard (2012) Should you buy a stock or a corporate bond? Another characterization of cautiousness. Working Paper. UNSPECIFIED.
Full text not available from this repository.Abstract
Should you buy a stock or a corporate bond? A common belief is that the Pratt-Arrow risk aversion measure gives the answer: a more risk averse investor will prefer more a corporate bond to a stock. However, this is not always true. In a simple portfolio problem with a riskless bond, a stock and a corporate bond from a firm, we show that, it is not the risk aversion measure but a downside risk aversion measure called cautiousness which gives the answer to the question: a more cautious investor will prefer more a stock to a corporate bond. While in some cases downside risk aversion agrees with risk aversion, in some other cases it does not.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Uncontrolled Keywords: | downside risk aversion ; cautiousness ; demand for corporate bonds ; demand for stocks |
| Subjects: | H Social Sciences > HF Commerce > HF5601 Accounting |
| Departments: | Lancaster University Management School > Accounting & Finance |
| ID Code: | 58959 |
| Deposited By: | ep_importer_pure |
| Deposited On: | 08 Oct 2012 13:45 |
| Refereed?: | No |
| Published?: | Published |
| Last Modified: | 08 Oct 2012 16:25 |
| Identification Number: | |
| URI: | http://eprints.lancs.ac.uk/id/eprint/58959 |
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