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Hybrid Tail Risk and Expected Stock Returns : When Does the Tail Wag the Dog?
Bali, Turan G. - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio … return as in standard systematic risk measures. We document a positive and significant relation between hybrid tail … covariance risk (H-TCR) and expected stock returns, with an annualized premium of 9%, in contrast to the insignificant or …
Persistent link: https://www.econbiz.de/10013075854
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Structural Uncertainty and the Value of Statistical Life in the Economics of Catastrophic Climate Change
Weitzman, Martin - 2007
Using climate change as a prototype motivating example, this paper analyzes the implications of structural uncertainty for the economics of low-probability high-impact catastrophes. The paper shows that having an uncertain multiplicative parameter, which scales or amplifies exogenous shocks and...
Persistent link: https://www.econbiz.de/10012775805
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Do Mood Swings Drive Business Cycles and is it Rational?
Beaudry, Paul - 2011
This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of US business cycles. In particular, we begin by using sign-restriction based identification schemes to isolate innovations in optimism or pessimism and we document the extent to which such...
Persistent link: https://www.econbiz.de/10013117561
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Expectations Uncertainty and Household Economic Behavior
Ben-David, Itzhak - 2018
We show that there exists significant heterogeneity across US households in how uncertain they are in their expectations regarding personal and macroeconomic outcomes, and that uncertainty in expectations predicts households' choices. Individuals with lower income or education, more precarious...
Persistent link: https://www.econbiz.de/10012906788
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A Theory of Demand Shocks
Lorenzoni, Guido - 2010
This paper presents a model of business cycles driven by shocks to consumer expectations regarding aggregate productivity. Agents are hit by heterogeneous productivity shocks, they observe their own productivity and a noisy public signal regarding aggregate productivity. The shock to this public...
Persistent link: https://www.econbiz.de/10012760694
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Maxing Out : Stocks as Lotteries and the Cross-Section of Expected Returns
Bali, Turan G. - 2009
between the maximum daily return over the past one month (MAX) and expected stock returns. Average raw and risk …
Persistent link: https://www.econbiz.de/10012764338
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Uncertainty Outside and Inside Economic Models
Hansen, Lars Peter - 2014
We must infer what the future situation would be without our interference, and what changes will be wrought by our actions. Fortunately, or unfortunately, none of these processes is infallible, or indeed ever accurate and complete. Knight (1921)
Persistent link: https://www.econbiz.de/10013048614
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Macroeconomic Uncertainty Prices When Beliefs are Tenuous
Hansen, Lars Peter; Sargent, Thomas J. - 2021
distributions of risks give rise to components of equilibrium prices that differ from the risk prices widely used in asset pricing … theory. A quantitative example highlights a representative investor's uncertainties about the size and persistence of …
Persistent link: https://www.econbiz.de/10013222314
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Procurement Contracting with Time Incentives : Theory and Evidence
Bajari, Patrick - 2010
In public sector procurement, social welfare often depends on the time taken to complete the contract. A leading example is highway construction, where slow completion times inflict a negative externality on commuters. Recently, highway departments have introduced innovative contracting methods...
Persistent link: https://www.econbiz.de/10012757589
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Driving to Opportunity : Local Rents, Wages, Commuting Costs and Sub-Metropolitan Quality of Life
Albouy, David; Lue, Bert - 2021
We examine variation in local wage levels, housing costs, and commuting costs for 2071 areas covering the United States …
Persistent link: https://www.econbiz.de/10013224386