Narrow search
Showing 1 - 10 of 5,346
Cover Image
Shareholders' expectations, aspiration levels, and mergers
Diecidue, Enrico; Ven, Jeroen van de; Weitzel, Utz - 2008
Persistent link: https://www.econbiz.de/10003909952
Cover Image
A robust approach to risk aversion
Bommier, Antoine; Le Grand, François - 2013
We investigate whether the set of Kreps and Porteus (1978) preferences include classes of preferences that are stationary, monotonic and well-ordered in terms of risk aversion. We prove that the class of preferences introduced by Hansen and Sargent (1995) in their robustness analysis is the only...
Persistent link: https://www.econbiz.de/10009721838
Cover Image
How Much Would You Pay to Resolve Long-Run Risk?
Epstein, Larry G. - 2013
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...
Persistent link: https://www.econbiz.de/10013074290
Cover Image
How Much Would You Pay to Resolve Long-Run Risk?
Epstein, Larry G. - 2013
Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny when calibrating preferences, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles have ignored the full...
Persistent link: https://www.econbiz.de/10013075825
Cover Image
The Resolution of Long-Run Risk
Pidkuyko, Myroslav - 2019
Long-run risk models, a cornerstone in the macro-finance literature for their ability to capture key asset price phenomena, are known to entail implausibly high levels of timing and risk premia. Our paper resolves this puzzle by considering consumption of durable goods in addition to that of...
Persistent link: https://www.econbiz.de/10012888849
Cover Image
How Much Would You Pay to Resolve Volatility Risk in Agricultural Commodity Markets?
Yan, Lei - 2019
This article investigates the pricing of volatility risk in agricultural commodity markets. We show theoretically that the cost of bearing volatility risk can be measured using returns to delta-neutral straddles. Using a sample of options for five commodities (corn, soybeans, Chicago wheat, live...
Persistent link: https://www.econbiz.de/10012889824
Cover Image
Ambiguity, Long-Run Risks, and Asset Prices
Wei, Bin - 2019
We generalize the long-run risks (LRR) model in Bansal and Yaron (2004) by incorporating the recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model remains...
Persistent link: https://www.econbiz.de/10012896734
Cover Image
Risk, Uncertainty, and 'Super-Risk'
Bermudez, Jose - 2015
sources. Risk is a pervasive feature of law and public policy. Decision-making in these domains often takes place in the … employs the basic tools of decision theory (probability and utility) to measure the likelihood as well as the costs and … of risk that has been systematically ignored. We call it “super-risk.” Super-risk occurs when, at the time of decision …
Persistent link: https://www.econbiz.de/10013020283
Cover Image
Rare Disasters and Risk Sharing with Heterogeneous Beliefs
Chen, Hui - 2010
Although the threat of rare economic disasters can have large effect on asset prices, difficulty in inference regarding both their likelihood and severity provides the potential for disagreements among investors. Such disagreements lead investors to insure each other against the types of...
Persistent link: https://www.econbiz.de/10012462617