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Euro area equity risk premia and monetary policy: A longer-term perspective
Kapp, Daniel; Kristiansen, Kristian Loft - 2021
This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in equity prices during periods of accommodative monetary policy mainly reflected adjustments in the discount factor and economic activity - rather than fluctuations in investors'...
Persistent link: https://www.econbiz.de/10012515456
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The rise in the cross sectoral dispersion of earnings expectations during COVID-19
Bats, Joost; Greif, William; Kapp, Daniel - 2022
This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....
Persistent link: https://www.econbiz.de/10013367994
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Transition versus physical climate risk pricing in European financial markets: A text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence of climate risk premia. Results suggest that climate risk...
Persistent link: https://www.econbiz.de/10013368007
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The Rise in the Cross-Sectoral Dispersion of Earnings Expectations During COVID-19
Bats, Joost; Greif, William; Kapp, Daniel - 2022
This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....
Persistent link: https://www.econbiz.de/10013406428
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Euro Area Equity Risk Premia and Monetary Policy : A Longer-Term Perspective
Kapp, Daniel; Kristiansen, Kristian - 2021
This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in equity prices during periods of accommodative monetary policy mainly reflected adjustments in the discount factor and economic activity – rather than fluctuations in investors’...
Persistent link: https://www.econbiz.de/10013233526
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Transition Versus Physical Climate Risk Pricing in European Financial Markets : A Text-Based Approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of climate risk premia. Resultssuggest that climate risk...
Persistent link: https://www.econbiz.de/10013404918
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Physical and transition risk premiums in euro area corporate bond markets
Bats, Joost Victor; Bua, Giovanna; Kapp, Daniel - 2024
climate risk premiums look different in Europe compared to the rest of the world. This paper examines the pricing implications … gauge for systematic climate risk, we find a significant pricing effect of physical risk in long-term bonds, with investors … pricing in the European bond markets, highlighting the importance of physical risk and the evolving nature of investor demand …
Persistent link: https://www.econbiz.de/10014543646