Showing 1 - 10 of 293
We study the effects of two measures of information dissemination on the determination of systemic risk. One measure is print-media consumer sentiment based while the other is volatility based. We find evidence that while the volatility measure (VIX) of future expectations has a more significant...
Persistent link: https://www.econbiz.de/10010726305
This paper implements an algorithm that can be used to solve systems of Black-Scholes equations for implied volatility and implied risk-free rate of return. After using a seemingly unrelated regressions (SUR) model to obtain point estimates for implied volatility and implied risk-free rate, the...
Persistent link: https://www.econbiz.de/10010737659
We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 26 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012. A panel model with fixed effects and Tarch effects shows significant prices for specific risk factors including...
Persistent link: https://www.econbiz.de/10010868605
We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional emprical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate...
Persistent link: https://www.econbiz.de/10010535573
We consider the effect of alternative individual preference towards effort conditional on aggregate risk in a principal-agent relationship under moral hazard. We find that agents can explore a negative correlation between individual preference towards effort and aggregate risk to further...
Persistent link: https://www.econbiz.de/10005102132
This paper analyzes the role of nominal assets in ranking intertemporal budget policies in a growing open economy. The budget policies are ranked in terms of the public's intertemporal stock of tax liabilities. We show that, for a small open economy, the constraint in which the valuation of...
Persistent link: https://www.econbiz.de/10005102157
This paper considers models of intratemporal consumption-labor choice and intertemporal consumption choice under heterogeneity and private information in preferences towards labor. We show that market regime regarding unemployment insurance is important to determine the effects of heterogeneity...
Persistent link: https://www.econbiz.de/10005070083
Persistent link: https://www.econbiz.de/10005070109
Persistent link: https://www.econbiz.de/10005027485
This paper presents empirical evidence on the effects of three nominal risk factors, local interest spreads, US interest spread, and US federal funds rate signal-to-noise ratio on the value of firms and on the cross-listing decision of firms destined to three major markets in North America,...
Persistent link: https://www.econbiz.de/10008488883