Home  Journals  Economic Analysis: Theory and Practice  36(165) - 2009 December

Dynamics of risk-preferences on Russian stock market and its application for trading

Available online: 25 December 2009

Subject Heading: THE INVESTMENT ACTIVITIES

JEL Classification: 

Recent financial crisis brought to light the question of the role of human factor in determining prices of financial assets. Current article describes a methodology for analysis of investors’ behavior through risk-preferences, which are estimated using actual option prices. The research is based on the leading world scientific articles contributed to analysis of investors’ risk-preferences and cover Russian stock market. Results received in the course of the research suggest that investors’ risk-preferences can be effectively used for short-term forecasts of the stock market dynamics.

Keywords: risk preference, risk neutral distribution, option, stock market

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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