Showing 1 - 10 of 150
Using multivariate unit root test methods, this Paper investigates the Purchasing Power Parity (PPP) hypothesis at the sectoral level across six European countries over the last seventeen years. Evidence of mean reversion toward PPP is found for the relative prices of some sectors and countries....
Persistent link: https://www.econbiz.de/10005504281
political risk. We focus on two choice variables, the leverage and the ownership structure of the foreign affiliate, and we … distinguish different types of political risk, such as expropriation, corruption and confiscatory taxation. In our theoretical … analysis we find that, as political risk increases, the ownership share always decreases, whereas leverage can both increase or …
Persistent link: https://www.econbiz.de/10005067659
withdrawal of employers and external insurers as risk bearers of systematic financial and longevity risks. Partly because of … pension: the Personal Pension with Risk sharing (PPR). By unbundling and valuing the investment, (dis)saving, insurance and … risk-sharing functions of pensions, PPRs allow risk management and (dis)saving to be customized to the specific features of …
Persistent link: https://www.econbiz.de/10011252616
This paper evaluates models with idiosyncratic consumption risk using Hansen and Jagannathan’s (1991) volatility bounds …. It is shown that idiosyncratic risk does not change the volatility bounds at all when consumers have constant relative … risk aversion (CRRA) preferences and the distribution of the idiosyncratic shock is independent of the aggregate state …
Persistent link: https://www.econbiz.de/10005067379
. The constant relative risk aversion (CRRA) model and several extensions (habit persistence, recursive utility and …
Persistent link: https://www.econbiz.de/10005791769
which the objectives of managers and entrepreneurs in choosing the risk composition of their firms' returns are not aligned … managers and entrepreneurs to unhedgeable firm-specific risk, induces them to change the stochastic properties of firm cash … flows. Since they can trade in markets for aggregate risk but not for firm-specific risk, managers and entrepreneurs produce …
Persistent link: https://www.econbiz.de/10005124325
This paper uncovers the changes in the cross-sectional distribution of idiosyncratic volatility of stocks over the period 1963--2008. The contribution of the top decile to the total market idiosyncratic volatility increased, while the contribution of the bottom decile decreased. We introduce a...
Persistent link: https://www.econbiz.de/10008925711
-sectional differences in the risk premia as compensation for systematic risk. Instead, country-specific attributes seem to be important in … characterizing the cross-sectional dispersion in the risk premia. …
Persistent link: https://www.econbiz.de/10005504460
(CSR) activities. We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk …
Persistent link: https://www.econbiz.de/10011083749
Performance evaluation of venture-capital (VC) payoffs is challenging because payoffs are infrequent, skewed, realized over endogenously varying time horizons, and cross- sectionally dependent. We show that standard stochastic discount factor (SDF) methods can be adapted to handle these issues....
Persistent link: https://www.econbiz.de/10011084553