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On the Welfare Costs of Consumption Uncertainty

Barro, Robert J. - 2006

Satisfactory calculations of the welfare cost of aggregate consumption uncertainty require a framework that replicates major features of asset prices and returns, such as the high equity premium and low risk-free rate. A Lucas-tree model with rare but large disasters is such a framework. In a...

Persistent link: https://www.econbiz.de/10012465898

Buyout Activity : The Impact of Aggregate Discount Rates

Haddad, Valentin - 2016

Buyout booms form in response to declines in the aggregate risk premium. We document that the equity risk premium is the primary determinant of buyout activity rather than credit-specific conditions. We articulate a simple explanation for this phenomenon: a low risk premium increases the present...

Persistent link: https://www.econbiz.de/10012456263

Investment Tournaments : When Should a Rational Agent Put All Eggs in One Basket?

Schwarz, Michael - 2009

In this paper we study "investment tournaments," a class of decision problems that involve gradual allocation of … investment among several alternatives whose values are subject to exogenous shocks. The decision-maker's payoff is determined by … broad range of cases it is optimal for the decision-maker in each time period to allocate all resources to the most …

Persistent link: https://www.econbiz.de/10012463514

Robust risk choice under high-water mark contract

Mu, Congming; Yan, Jingzhou; Yang, Jinqiang - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 295-322

Persistent link: https://www.econbiz.de/10014342032

Evolution of Risk Aversion over Five Years after a Major Natural Disaster

Ingwersen, Nicholas; Frankenberg, Elizabeth; Thomas, Duncan - National Bureau of Economic Research - 2023

The impact of exposure to a major unanticipated natural disaster on the evolution of survivors' attitudes toward risk is examined, exploiting plausibly exogenous variation in exposure to the 2004 Indian Ocean tsunami in combination with rich population-representative longitudinal survey data...

Persistent link: https://www.econbiz.de/10014250120

One Size Doesn't Fit All : Heterogeneous Depositor Compensation During Periods of Uncertainty

Artavanis, Nikolaos; Paravisini, Daniel; Robles-Garcia, … - National Bureau of Economic Research - 2022

We develop a new approach to identify different categories of depositors during periods of uncertainty and quantify their compensation to remain in the bank. We isolate withdrawals due to liquidity needs, deterioration of fundamentals, and expectation about withdrawal behavior of other...

Persistent link: https://www.econbiz.de/10013362023

Firm valuation, abnormal earnings, and mutual funds flow

Maher, John J.; Brown, Robert M.; Kumar, Raman - In: Review of quantitative finance and accounting 31 (2008) 2, pp. 167-189

Persistent link: https://www.econbiz.de/10003727915

Value relevance of value-at-risk disclosure

Lim, Chee Yeow; Tan, Patricia Mui-siang - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 353-370

Persistent link: https://www.econbiz.de/10003600293

A Bayesian framework for combining valuation estimates

Yee, Kenton K. - In: Review of quantitative finance and accounting 30 (2008) 3, pp. 339-354

Persistent link: https://www.econbiz.de/10003711383

Equivalent valuations in cash flow and accounting models

Sweeney, Richard J. - In: Review of quantitative finance and accounting 42 (2014) 1, pp. 29-49

Persistent link: https://www.econbiz.de/10010345147

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