Showing 1 - 10 of 11
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate on irrational investors who buy and sell pharmaceutical companies' stocks...
Persistent link: https://www.econbiz.de/10011569218
This paper studies whether Eurosystem collateral eligibility played a role in the portfolio choices of euro area asset managers during the "dash-for-cash" episode of 2020. We find that asset managers reduced their allocation to ECB-eligible corporate bonds, selling them in order to finance...
Persistent link: https://www.econbiz.de/10014520259
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate on irrational investors who buy and sell pharmaceutical companies' stocks...
Persistent link: https://www.econbiz.de/10011568702
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified modelfree from the option price data as...
Persistent link: https://www.econbiz.de/10011849504
We study how the Eurosystem Collateral Framework for corporate bonds helps the European Central Bank (ECB) fulfill its policy mandate. Using the ECBs eligibility list, we identify the first inclusion date of both bonds and issuers. We find that due to the increased supply and demand for...
Persistent link: https://www.econbiz.de/10012210227
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271695
Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable consumption bundle are substitutes. We estimate substitution elasticities between different consumption bundles and show that households cannot substitute energy consumption by...
Persistent link: https://www.econbiz.de/10014446297
This paper examines the welfare implications of rising temperatures. Using a standard VAR, we empirically show that a temperature shock has a sizable, negative and statistically significant impact on TFP, output, and labor productivity. We rationalize these findings within a production economy...
Persistent link: https://www.econbiz.de/10011699051
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
Persistent link: https://www.econbiz.de/10012157616
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility-of-volatility measures, identified model-free from the option price data...
Persistent link: https://www.econbiz.de/10012852246