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Buyout Activity : The Impact of Aggregate Discount Rates
Haddad, Valentin - 2016
Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...
Persistent link: https://www.econbiz.de/10012456263
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Climate Change Uncertainty Spillover in the Macroeconomy
Barnett, Michael; Brock, William A.; Hansen, Lars Peter - National Bureau of Economic Research - 2021
in the future. We appeal to decision theory under risk, model ambiguity and misspecification concerns to provide an … into a low dimensional characterization that depends on the uncertainty aversion of a decision-maker or fictitious social …
Persistent link: https://www.econbiz.de/10012599354
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2010
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), we find that a lax monetary policy decreases...
Persistent link: https://www.econbiz.de/10012462259
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Uncertainty and Economic Activity : Evidence from Business Survey Data
Bachmann, Ruediger - 2010
What is the impact of time-varying business uncertainty on economic activity? Using partly confidential business survey data from the U.S. and Germany in structural VARs, we find that positive innovations to business uncertainty lead to prolonged declines in economic activity. In contrast, their...
Persistent link: https://www.econbiz.de/10012462513
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Investment Tournaments : When Should a Rational Agent Put All Eggs in One Basket?
Schwarz, Michael - 2009
In this paper we study "investment tournaments," a class of decision problems that involve gradual allocation of … investment among several alternatives whose values are subject to exogenous shocks. The decision-maker's payoff is determined by … broad range of cases it is optimal for the decision-maker in each time period to allocate all resources to the most …
Persistent link: https://www.econbiz.de/10012463514
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Variable Rare Disasters : An Exactly Solved Framework for Ten Puzzles in Macro-Finance
Gabaix, Xavier - 2008
This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result from the possibility of rare, large disasters. During a disaster, an asset's fundamental value falls by a time-varying amount. This in turn generates time-varying risk premia and...
Persistent link: https://www.econbiz.de/10012464923
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Disentangling Exploration from Exploitation
Lizzeri, Alessandro; Shmaya, Eran; Yariv, Leeat - National Bureau of Economic Research - 2024
Starting from Robbins (1952), the literature on experimentation via multi-armed bandits has wed exploration and exploitation. Nonetheless, in many applications, agents' exploration and exploitation need not be intertwined: a policymaker may assess new policies different than the status quo; an...
Persistent link: https://www.econbiz.de/10014544703
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One Size Doesn't Fit All : Heterogeneous Depositor Compensation During Periods of Uncertainty
Artavanis, Nikolaos; Paravisini, Daniel; Robles-Garcia, … - National Bureau of Economic Research - 2022
We develop a new approach to identify different categories of depositors during periods of uncertainty and quantify their compensation to remain in the bank. We isolate withdrawals due to liquidity needs, deterioration of fundamentals, and expectation about withdrawal behavior of other...
Persistent link: https://www.econbiz.de/10013362023
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Investor Protection and Corporate Valuation
Porta, Rafael La - 1999
We present a model of the effects of legal protection of minority shareholders and of cash flow ownership by a controlling shareholder on the valuation of firms. We then test this model using a sample of 371 large firms from 27 wealthy economies. Consistent with the model, we find evidence of...
Persistent link: https://www.econbiz.de/10012471382
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Innovation and Market Value
Hall, Bronwyn H. - 1999
Recent research on financial market valuation of the knowledge assets of publicly traded firms is surveyed. The motivation for using a market value equation to price knowledge assets is discussed and the theory behind this equation is briefly presented. Then the empirical literature that relates...
Persistent link: https://www.econbiz.de/10012471824