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Why Does Idiosyncratic Risk Increase with Market Risk
Bartram, Söhnke M. - 2017
errors in analysts' earnings forecasts. Firm characteristics related to the ability of firms to adjust to higher uncertainty …, which is consistent with the view that such options provide a hedge against macroeconomic uncertainty …
Persistent link: https://www.econbiz.de/10012950299
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The Rate of Return on Everything, 1870-2015
Jordà, Òscar - 2018
the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much …
Persistent link: https://www.econbiz.de/10012921279
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Petroleum Tax Competition Subject to Capital Rationing
Osmundsen, Petter - 2017
The recent dramatic fall in oil prices has led to extensive capital rationing in international oil companies, and subsequent fierce competition between resource extraction countries to attract scarce investment. This situation is not adequately addressed by the large literature on international...
Persistent link: https://www.econbiz.de/10012958877
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Oil Project Selection by Metrics
Emhjellen, Magne - 2016
present, given the prevailing uncertainty over the direction of future oil prices, seems to be the breakeven price of a …
Persistent link: https://www.econbiz.de/10012989033
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Asset Pricing with Uncertain Betas : A Long-Term Perspective
Gollier, Christian - 2013
How should one evaluate investment projects whose CCAPM betas are uncertain? This question is particularly crucial for projects yielding long-lasting impacts on the economy, as is the case for example for many green investments. We define the notion of a certainty equivalent beta. We show that...
Persistent link: https://www.econbiz.de/10013087728
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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...
Persistent link: https://www.econbiz.de/10012955752
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Climate Change and Long-Run Discount Rates : Evidence from Real Estate
Giglio, Stefano - 2015
The optimal investment to mitigate climate change crucially depends on the discount rate used to evaluate the … investment's uncertain future benefits. The appropriate discount rate is a function of the horizon over which these benefits …
Persistent link: https://www.econbiz.de/10013009875
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The Sovereign Default Problem in the Eurozone : An Insurance-Based Approach
Arnold, Nadjeschda - 2015
-bailout threat is credible, accounting for the effect on its equilibrium interest rate, and then establish an equally efficient …
Persistent link: https://www.econbiz.de/10013020584
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Unleashing Animal Spirits - Self-Control and Overpricing in Experimental Asset Markets
Kocher, Martin G. - 2016
One possible determinant of overpricing on asset markets is a lack of self-control abilities of traders. Self-control is the individual capacity to override or inhibit undesired behavioral tendencies such as impulses and to refrain from acting on them. We implement the first experiment that is...
Persistent link: https://www.econbiz.de/10012994360
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Applicaton of Stochastic Optimal Control to Financial Market Debt Crises
Stein, Jerome L. - 2013
literature in mathematical finance concerning optimal portfolio allocation and stopping rules? The uncertainty concerns the … capital gain, the return on capital and the interest rate. An optimal debt ratio is derived where the drift is probabilistic … asset. The vulnerability of the borrowing firm to shocks from the capital gain, the return to capital or the interest rate …
Persistent link: https://www.econbiz.de/10012753227