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Asymmetry Risk And Asset Pricing, Jiahao Gu
Asymmetry Risk And Asset Pricing, Jiahao Gu
Graduate Theses, Dissertations, and Problem Reports
The dissertation primarily focuses on asymmetry risk and its role in asset pricing. Asymmetry risk is a crucial component of systematic risk. However, it does not attract much attention, probably because of the misconception that it is similar to other asymmetry measures (e.g., skewness). Chapter 1 defines the asymmetry risk. The risk indifference curve (RIC) predicts two asymmetry premiums in the return distribution rather than one in the downside. I also derive the risk-neutral measure of asymmetry risk.
Chapter 2 empirically investigates the asymmetry beta's return predictability and tail risk hedging ability. Consistent with the risk indifference curve, the asymmetry …