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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10012480268
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Hedging Climate Change News
Engle, Robert F, III. - 2019
We propose and implement a procedure to dynamically hedge climate change risk. To create our hedge target, we extract … hedge portfolios. We discipline the exercise by using third-party ESG scores of firms to model their climate risk exposures … managing climate risk …
Persistent link: https://www.econbiz.de/10012479685
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Five Facts about Beliefs and Portfolios
Giglio, Stefano - 2019
We administer a newly-designed survey to a large panel of wealthy retail investors. The survey elicits beliefs that are important for macroeconomics and finance, and matches respondents with administrative data on their portfolio composition, their log-in behavior, and their trading activity. We...
Persistent link: https://www.econbiz.de/10012479695
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Four Facts About ESG Beliefs and Investor Portfolios
Giglio, Stefano; Maggiori, Matteo; Stroebel, Johannes; … - National Bureau of Economic Research - 2023
We analyze survey data on ESG beliefs and preferences in a large panel of retail investors linked to administrative data on their investment portfolios. The survey elicits investors' expectations of long-term ESG equity returns and asks about their motivations, if any, to invest in ESG assets....
Persistent link: https://www.econbiz.de/10014250132
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A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - National Bureau of Economic Research - 2022
climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …
Persistent link: https://www.econbiz.de/10013477195
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Asset Pricing in the Frequency Domain : Theory and Empirics
Dew-Becker, Ian - 2013
, which captures the fluctuations induced in the priced variable at different frequencies. We show that the price of risk for … frequency then represents the frequency-specific price of risk, and is entirely determined by the preferences of investors. For … frequencies. We estimate the frequency-specific risk prices for the equity market, focusing on economically interesting …
Persistent link: https://www.econbiz.de/10012459245