Similar Search Results

A Note on the Computation of the Equity Premium and the Market Value of Firm Equity

Heer, Burkhard - 2010

Turnovsky (1995) derives in a continuous-time model of a decentralized economy that the correct specification of the firm's objective function is to maximize the initial value of its outstanding securities. The firm value is the discounted flow of real earnings. For the discrete-time version of...

Persistent link: https://www.econbiz.de/10013143832

Systematic Consumption Risk in Currency Returns

Hoffmann, Mathias - 2013

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

Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns

Hoffmann, Mathias - 2021

.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

Conflict, Settlement, and the Shadow of the Future

McBride, Michael - 2010

In many instances of potential violent or non-violent conflict the future strategic positions of adversaries are very different when there is open conflict than when there is settlement. In such environments we show that, as the future becomes more important, open conflict becomes more likely...

Persistent link: https://www.econbiz.de/10013149006

Why Does Idiosyncratic Risk Increase with Market Risk

Bartram, Söhnke M. - 2017

From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Persistent link: https://www.econbiz.de/10012950299

Market Depth, Leverage, and Speculative Bubbles

Enders, Zeno - 2019

the risk-free rate. This allows us to discuss several policy measures. Capital requirements and a correctly implemented …

Persistent link: https://www.econbiz.de/10012899999

Wealth Preference and Rational Bubbles

Michau, Jean-Baptiste - 2018

We consider a neoclassical economy where households derive utility from holding wealth. We show that, under some conditions, there can be rational bubbles. Hence, we provide a microfoundation for bubbles that relies on a frictionless infinite-horizon economy without any heterogeneity across...

Persistent link: https://www.econbiz.de/10012912377

Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria - 2017

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

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

Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes

Pesaran, M. Hashem - 2017

This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...

Persistent link: https://www.econbiz.de/10012963776