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Transition versus physical climate risk pricing in European financial markets : a text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …

Persistent link: https://www.econbiz.de/10013271146

Expectation dispersion, uncertainty, and the reaction to news

Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020

. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model …

Persistent link: https://www.econbiz.de/10012404549

Cybersecurity risk

Florackis, Chris; Louca, Christodoulos; Michaely, Roni; … - 2020 - This version: December 3rd 2020

high cybersecurity risk. Reassuringly, the measure is higher in information-technology industries, correlates with …

Persistent link: https://www.econbiz.de/10012419704

Nothing is certain except death and taxes : the lack of policy uncertainty from expiring "temporary" taxes

Chang, Andrew C. - 2018

What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...

Persistent link: https://www.econbiz.de/10011932265

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets …

Persistent link: https://www.econbiz.de/10012181922

Physical and transition risk premiums in euro area corporate bond markets

Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024

The European Union plays a prominent role in climate regulations initiatives, this commitment likely implies that climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications of climate risks in euro area corporate bond markets,...

Persistent link: https://www.econbiz.de/10014484474

How do expectations about the macroeconomy affect personal expectations and behavior?

Roth, Christopher; Wohlfart, Johannes - 2018

exposure to macroeconomic risk, consistent with sticky information models in which people are inattentive, but understand how …

Persistent link: https://www.econbiz.de/10011877783

Explosive oil prices

Gronwald, Marc - 2013

are based on oil price information. For this purpose, a real options model on the oil field development decision is …

Persistent link: https://www.econbiz.de/10009786017

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

ECB communication as a stabilization and coordination device: evidence from ex-ante inflation uncertainty

Fernandes, Cecilia Melo - 2021

uncertainty and sheds light on how central bank information shocks operate. The paper finds that ECB communication of new outlook … information not only reduces professional forecasters' disagreement (i.e., the cross-sectional dispersion of their average point … bank information acts as a "coordination device" able to influence opinions and actions. Most importantly, it generates a …

Persistent link: https://www.econbiz.de/10012603073