Symmetry Restrictions in a System of Financial Asset Demands: A Theoretical and Empirical Analysis / V. Vance Roley.

Format:

Book

Author/Creator:

Roley, V. Vance.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0593.

NBER working paper series no. w0593

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Symmetry Restrictions in a System of Financial Asset Demands

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1980.

Summary:

The symmetry restriction in a system of financial asset demands has frequently been employed to reduce the number of independent parameters to be estimated. The theoretical implications of the symmetry restriction are examined in this paper, and it is found that symmetry implies a particular type of risk averse portfolio behavior. The symmetry restriction is also examined empirically, and the evidence supports symmetry only in cases where coefficients on cross-asset yields are insignificantly different from zero.

Notes:

Print version record

December 1980.