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Hedging climate change news
Engle, Robert F.; Giglio, Stefano; Lee, Heebum; Kelly, … - 2019 - This version: May 7, 2019
exposures. We show that this approach yields parsimonious and industry-balanced portfolios that perform well in hedging …
Persistent link: https://www.econbiz.de/10012024377
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Short-term price overreactions : identification, testing, exploitation
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
This paper examines short-term price reactions after one-day abnormal price changes and whether they create exploitable profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that there is an "inertia anomaly", i.e. after an...
Persistent link: https://www.econbiz.de/10010431281
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The existence of informationally efficient markets when individuals are rational
Muendler, Marc-Andreas - 2004
A rational-expectations equilibrium with positive demand for financial information does exist under fully revealing asset price - contrary to a wide-held conjecture. Generalizing the common additive signal-return model with CARA utility to the family of distributions with moment generating...
Persistent link: https://www.econbiz.de/10011451345
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Rational information choice in financial market equilibrium
Mündler, Marc Andreas (contributor) - 2005
Adding a stage of signal acquisition to the expected utility model shows that Bayesian updating results in a well defined law of demand for financial information when asset return distributions are conjugate priors to signals such as in the gamma-Poisson case. Signals have a positive marginal...
Persistent link: https://www.econbiz.de/10002756259
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 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/10011646274
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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...
Persistent link: https://www.econbiz.de/10013417581
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Managerial hedging and portfolio monitoring
Bisin, Alberto (contributor); Gottardi, Piero (contributor);  … - 2004
using financial markets and shareholders cannot perfectly monitor the managers̕ portfolio in order to keep him from hedging … monitoring is costly governance is imperfect. If managerial hedging is detected, shareholders can seize the payoffs of the …) conditional on the firms̕ performance, the managers̕ compensation is lower when his portfolio is monitored, even if no hedging is …
Persistent link: https://www.econbiz.de/10002521243
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Can time-varying currency risk hedging explain exchange rates?
Bräuer, Leonie; Hau, Harald - 2022
bond positions, which creates a net hedging demand for dollar assets that depreciates USD rates in both the forward and … spot markets. We document the time-varying nature of this net hedging demand and show how it relates to eco … FX hedging pressure can account for approximately 30% of all monthly variation in the seven most important dollar …
Persistent link: https://www.econbiz.de/10013440410
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Property insurance, portfolio selection and their interdependence
Chang, Fwu-ranq (contributor) - 2008
Persistent link: https://www.econbiz.de/10003662865
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Illusion of expertise in portfolio decisions : an experimental approach
Fellner, Gerlinde; Güth, Werner; Maciejovsky, Boris - 2001
Overall, 72 subjects invest their endowment in four risky assets. Each com-bination of assets yields the same expected return and variance of returns. Illusion of expertise prevails when one prefers nevertheless the self-selected portfolio. After being randomly assigned to groups of four...
Persistent link: https://www.econbiz.de/10011408429