The recent development of indexed catastrophe (CAT) securities is a concern in the insurance literature. We refer to the two existing prominent explanations as the systematic risk approach and the moral hazard approach. Under the systematic risk approach, the systematic risk portion is hedged by...

To valuate mortgage-backed securities, it is crucial to understand mortgage termination behavior. Analyzing the unique loan-level dataset, this study examines the characteristics of mortgage prepayment and default behavior in the Korean housing and housing finance markets. We find that loans to...

This study examines the relationship between the weather and intraday investor sentiment. Our results indicate that high temperatures, high humidity, high cloud coverage, and extreme rain negatively affect investors’ moods, whereas high winds and long sunshine durations improve their moods....

This study examines the effect of global risk aversion on future real economic activity (REA) and stock market volatility. We propose new international real business cycle (RBC) frameworks with a stochastic global risk-aversion spillover process by extending the commonly used RBC models. We also...