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Andrei Semenov
Observed name:
Semenov, Andrei
Institution:
York University
Observed institutions:
York University,
University of York
ORCID:
0000-0002-4633-2639
Observed ORCID:
0000-0002-4633-2639
OpenAlex ID:
A5083077373
Disentangling risk aversion and intertemporal substitution through a reference level
2006
·
René Garcia
, Éric Renault
, et al.
·
Finance research letters
·
43
Departures from Rational Expectations and Asset Pricing Anomalies
2009
·
Andrei Semenov
·
Journal of Behavioral Finance
·
15
The small-cap effect in the predictability of individual stock returns
2015
·
Andrei Semenov
·
International Review of Economics & Finance
·
12
High-Order Consumption Moments and Asset Pricing
2004
·
Andrei Semenov
·
RePEc: Research Papers in Economics
·
9
Testing the random walk hypothesis through robust estimation of correlation
2007
·
Andrei Semenov
·
Computational Statistics & Data Analysis
·
7
Background risk in consumption and the equity risk premium
2016
·
Andrei Semenov
·
Review of Quantitative Finance and Accounting
·
6
High-Order Consumption Moments and Asset Pricing
2007
·
Andrei Semenov
·
SSRN Electronic Journal
·
4
Risk factor beta conditional value‐at‐risk
2008
·
Andrei Semenov
·
Journal of Forecasting
·
3
Estimation of the consumption CAPM with imperfect sample separation information
2007
·
Andrei Semenov
·
International Journal of Finance & Economics
·
3
Overreaction and underreaction to new information and the directional forecast of exchange rates
2024
·
Andrei Semenov
·
International Review of Economics & Finance
·
2
Measuring the stock's factor beta and identifying risk factors under market inefficiency
2021
·
Andrei Semenov
·
The Quarterly Review of Economics and Finance
·
2
Historical simulation approach to the estimation of stochastic discount factor models
2008
·
Andrei Semenov
·
Quantitative Finance
·
2
Subjective probabilities under behavioral heuristics
2025
·
Oriana Rahman
, Andrei Semenov
·
International Review of Economics & Finance
·
1
Behavioral Heuristics and Financial Modelling
2012
·
Andrei Semenov
·
Journal of Stock & Forex Trading
·
1
The measure of relative risk aversion in the consumption CAPM with power utility
2006
·
Andrei Semenov
·
Applied Financial Economics Letters
·
1
An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance
2003
·
Andrei Semenov
·
RePEc: Research Papers in Economics
·
1
Nonparametric Directional Forecasting in Equity Markets: Size, Conditional Patterns, and Economic Payoffs
2026
·
Andrei Semenov
·
SSRN Electronic Journal
Is consumption risk priced in the stock market?
2014
·
Andrei Semenov
·
Journal of Empirical Finance
Is Uninsurable Consumption Risk Priced
2012
·
Andrei Semenov
The Size Effect in the Predictability of Individual Stock Returns
2012
·
Andrei Semenov
·
SSRN Electronic Journal
Uninsurable risk and financial market puzzles
2011
·
Parantap Basu
, Andrei Semenov
, et al.
·
Journal of International Money and Finance
Asset Pricing in the Presence of Background Risk
2010
·
Andrei Semenov
·
RePEc: Research Papers in Economics
リスクプレミアムパズルと為替パズルの検討
2009
·
ワダ, ケンジ
, クボタ, ケイイチ
, et al.
·
KeiO Associated Repository of Academic Resources (Keio University)
Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation
2004
·
Andrei Semenov
·
RePEc: Research Papers in Economics
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
2003
·
René García
, Éric Renault
, et al.
·
RePEc: Research Papers in Economics
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Works count:
33
Citation count:
112
H-index:
6
I10-index:
3
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