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Asset prices with temporary shocks to consumption
Pohl, Walter; Schmedders, Karl; Wilms, Ole - 2014
coefficient of relative risk aversion below ten. This finding suggests that non-permanent shocks can play an important role in …
Persistent link: https://www.econbiz.de/10010412663
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Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - 2007
overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …
Persistent link: https://www.econbiz.de/10003961073
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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Economic Policy Uncertainty and the Yield Curve
Leippold, Markus; Matthys, Felix - 2022
Persistent link: https://www.econbiz.de/10013192097
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Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …
Persistent link: https://www.econbiz.de/10012421289
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Intra-horizon expected shortfall and risk structure in models with jumps
Farkas, Walter; Mathys, Ludovic; Vasiljević, Nikola - 2019
The present article deals with intra-horizon risk in models with jumps. Our general understanding of intra-horizon risk … quantifying market risk by strictly relying on point-in-time measures cannot be deemed a satisfactory approach in general. Instead …, we argue that complementing this approach by studying measures of risk that capture the magnitude of losses potentially …
Persistent link: https://www.econbiz.de/10012179511
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Crash risk in individual stocks
Pederzoli, Paola - 2018
This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …
Persistent link: https://www.econbiz.de/10011899675
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Sticking around too long? : dynamics of the benefits of dual-class voting
Kim, Hyunseob; Michaely, Roni - 2019
Using a new dataset of corporate voting-rights from 1971 to 2015, we find that young dual-class firms trade at a premium and operate at least as efficiently as young single-class firms. As dual-class firms mature, their valuation declines, and they become less efficient in their margins,...
Persistent link: https://www.econbiz.de/10012003045
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Noisy stock prices and corporate investment
Dessain, Olivier; Foucault, Thierry; Frésard, Laurent; … - 2018
Firms significantly reduce their investment in response to non-fundamental drops in the stock price of their product-market peers. We argue that this result arises because of managers' limited ability to filter out the noise in stock prices when using them as signals about their investment...
Persistent link: https://www.econbiz.de/10011938663