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51.
Doron Nisani 《International Journal of Economic Theory》2023,19(3):599-610
The General Deviation Measure introduces a progressive definition for financial risk measurement, which presents an alternative to the Coherent Risk Measure. This definition replaces the Translation Invariance and Monotonicity axioms with the Shift Invariance and Nonnegativity axioms, and it includes the Mean Absolute Deviation measure and other variations of the Value-at-Risk measurements. This research shows that Coherent Risk Measure holds an intrinsic contradiction regarding riskless assets, and it proves that the Gini coefficient is also a General Deviation Measure. These contributions improve the efficiency of risk measurement and asset pricing in the financial markets. 相似文献
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Review of Accounting Studies - We investigate how unexpected distractions affect investor reactions to corporate earnings announcements. We use a daily news pressure (DNP) index as a proxy for the... 相似文献