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Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011994544

Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications

Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020

We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …

Persistent link: https://www.econbiz.de/10012175486

Ambiguity and the historical equity premium

Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

Persistent link: https://www.econbiz.de/10011756113

Risk Aversion, Uninsurable Idiosyncratic Risk, and the Financial Accelerator

Candian, Giacomo - 2020

We develop a tractable model to study jointly the role of non-diversifiable risk and financial frictions for business … cycles. Non-diversifiable risk induces strong precautionary motives, which reduce the exposure of entrepreneurs to aggregate … fluctuations in asset prices and risk premia, thus making the economy more resilient to financial shocks. We provide microeconomic …

Persistent link: https://www.econbiz.de/10012856635

Financial literacy, households' investment behavior, and risk propensity

Bajo, Emanuele; Barbi, Massimiliano; Sandri, Sandro - In: Journal of financial management, markets and institutions 3 (2015) 1, pp. 157-174

Persistent link: https://www.econbiz.de/10011951420

Estimating systematic risk under extremely adverse market conditions

Oordt, Maarten R. C. van; Chen Zhou - 2016

This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its...

Persistent link: https://www.econbiz.de/10011458791