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Price of Long-Run Temperature Shifts in Capital Markets
Bansal, Ravi - 2016
US equity portfolios have negative exposure (beta) to long-run temperature fluctuations. The elasticity of equity prices … market returns, and the estimated temperature elasticity of equity prices. We find that the long-run impact of temperature on …
Persistent link: https://www.econbiz.de/10012456150
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Risk Preferences and The Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012456152