Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China
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Note: Acknowledgments: This research is partially supported by Northeast Normal University, National University of Singapore, Research Grants Council of Hong Kong, and Hong Kong Baptist University. The third author wishes to acknowledge the ¯nancial support of the Australian Research Council, National Science Council, Taiwan, and the Japan Society for the Promotion of Science. The fourth author would like to thank Professors Robert B. Miller and Howard E. Thompson for their continuous guidance and encouragement.
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- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2015. "Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 889-900, May.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2012. "Stochastic Dominance Statistics for Risk Averters and Risk Seekers: An Analysis of Stock Preferences for USA and China," KIER Working Papers 820, Kyoto University, Institute of Economic Research.
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More about this item
Keywords
Stochastic dominance; risk aversion; risk seeking; test statistic; hypothesis testing.;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2012-07-01 (Operations Research)
- NEP-SEA-2012-07-01 (South East Asia)
- NEP-UPT-2012-07-01 (Utility Models and Prospect Theory)
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