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.S. stock market wealth. Fluctuations in entrepreneurs' hunger for risk could therefore help explain time variation in the … fluctuations in proprietary income, is highly correlated with cross-sectional measures of idiosyncratic entrepreneurial risk and … as entrepreneurial risk has become more easily diversifiable in the wake of U.S. state-level bank deregulation …
Persistent link: https://www.econbiz.de/10013317587
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10012955752
boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …
Persistent link: https://www.econbiz.de/10013080499
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10013094817
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
This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate …
Persistent link: https://www.econbiz.de/10013315674
We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...
Persistent link: https://www.econbiz.de/10012927574
The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...
Persistent link: https://www.econbiz.de/10012981605
considers the evidence on return predictability, risk aversion and market efficiency. The paper then focuses on the theoretical …
Persistent link: https://www.econbiz.de/10013141185
This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...
Persistent link: https://www.econbiz.de/10012958457