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asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …
Persistent link: https://www.econbiz.de/10011941263
We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …
Persistent link: https://www.econbiz.de/10011398103
Insolvency systems play a crucial role in protection of creditor rights, yet micro-level empirical evidence on the … functioning of insolvency regimes worldwide is sparse. We investigate whether creditors' recovery of outstanding claims, a measure … of ex-post efficiency of an insolvency regime, depends on the characteristics of the trustee delegated the administration …
Persistent link: https://www.econbiz.de/10011518156
price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …
Persistent link: https://www.econbiz.de/10012258563
The frequency with which firms adjust output prices helps explain persistent differences in capital structure across firms. Unconditionally, the most exible-price firms have a 19% higher long-term leverage ratio than the most sticky-price firms, controlling for known determinants of capital...
Persistent link: https://www.econbiz.de/10011597779
ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …
Persistent link: https://www.econbiz.de/10013457674
. The pooling and tranching of credit assets relaxes both the funding and the risk constraints financial entities face … allowing them to increase balance sheet holdings. This increase in asset demand depresses the compensation for undertaking risk … in the economy, confirming our empirical results. Crucially, we show that declines in the compensation for risk taking in …
Persistent link: https://www.econbiz.de/10010479921
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014388605
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/10009752999
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation between IR and MR is highly stable through time and is robust across exchanges, firm size, liquidity, and market …-to-book groupings. Though stock liquidity affects the strength of the relation, it is strong for the most liquid stocks. The relation …
Persistent link: https://www.econbiz.de/10011674278