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Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market price of risk (lambda). For utility functions that do not...
Persistent link: https://www.econbiz.de/10009579172
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
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Persistent link: https://www.econbiz.de/10001377689
In this paper I consider a complex decision problem where subjects have to cope with a time horizon of uncertain … economic theory suggests to solve the decision problem. But since real decision makers can hardly be expected to behave …
Persistent link: https://www.econbiz.de/10009581111
This paper investigates the behaviour in repeated decision situations. The experimental study shows that subjects show … low or no risk-aversion, but put very high value on the opportunity to sell the lottery in every stage of the decision … behaviour ; decision-making experiments …
Persistent link: https://www.econbiz.de/10009582412