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Kuntz, Laura-Chloé - 2020

The beta dispersion, which is the spread of betas on a stock market, can be interpreted as a measure of market vulnerability. This study examines the economic idea of the beta dispersion and its application as a market return predictor. Based on the empirical beta dispersion observed in the US...

Persistent link: https://www.econbiz.de/10012264452

Synthetic leverage and fund risk-taking

Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper …, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet … information. In the empirical application, I show that German equity funds have increased their risk-taking via synthetic leverage …

Persistent link: https://www.econbiz.de/10012489580

The effects of foreign exchange risk and return on the demand for domestic balances

Zilberfarb, Ben-Zion - 1985

Persistent link: https://www.econbiz.de/10000689707

Long run risk model and equity premium puzzle in Thailand

Sartja Duangchaiyoosook; Kilenthong, Weerachart T. - 2021

Persistent link: https://www.econbiz.de/10012582703

Regulated correlations : climate policy and investment risks

Neupert-Zhuang, Menglu; Schenker, Oliver - 2024

-)variance of power plant profits. If investors are risk-averse, these differ- ences lead to divergent investment portfolios …, breaking the equivalence of price- and quantity-based policy instruments under risk-neutrality. Using the European power sector … with increasing risk aversion. …

Persistent link: https://www.econbiz.de/10015271324

Intertemporal substitution, risk and the time series behaviour of consumption and asset returns

Zin, Stanley E. - 1987

Persistent link: https://www.econbiz.de/10003532799

Investment opportunities in Central and Eastern European equity markets : an econometric examination of the risk-return relationships for Western investors

Schröder, Michael - 2000

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor approach and estimated by General Methods of Moments...

Persistent link: https://www.econbiz.de/10013428350

Procyclical asset management and bond risk premia

Barbu, Alexandru; Fricke, Christoph; Mönch, Emanuel - 2020

response to lower in-terest rates, and vice versa. Institutional funds' risk-taking increases when interest rates turn negative …

Persistent link: https://www.econbiz.de/10012250652

Equity premium predictability over the business cycle

Mönch, Emanuel; Stein, Tobias - 2021

The equity premium follows a pronounced v-shape pattern around the beginning of recessions. It sharply drops into negative territory just before business cycle peaks and then strongly recovers as the recession unfolds. Recessions are preceded by an inverted yield curve. Thus probit models using...

Persistent link: https://www.econbiz.de/10012607106

Show what you risk - norms for risk taking

Grimm, Stefan - 2018

choices being observed, compared to anonymity of choices, on risk taking in a laboratory experiment. I relate participants …' investments in a risky asset directly to social norms for risk taking that are elicited in an incentivized procedure. I find that … risk taking is not affected by the choice being observed by a matched participant. Nor do investments follow elicited norms …

Persistent link: https://www.econbiz.de/10011930435