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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

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

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

Expectations and aggregate risk

Bretscher, Lorenzo; Malkhozov, Aytek; Tamoni, Andrea - 2021

augmented with anticipated shocks. Accounting for agents' expectations atthe business cycle horizon results in aggregate risk … aggregate risk …

Persistent link: https://www.econbiz.de/10012643121

Mispricing and uncertainty in international markets

Sandulescu, Mirela; Schneider, Paul - 2021

a strong positive relation to conditional international equity and currency risk premia, as well as a close link to …

Persistent link: https://www.econbiz.de/10012487677

Economic Policy Uncertainty and the Yield Curve

Leippold, Markus; Matthys, Felix - 2022

Persistent link: https://www.econbiz.de/10013192097

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

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

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

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

We introduce a new class of momentum strategies, the risk-adjusted time series momentum (RAMOM) strategies, which are … how these volatility measures can be used for risk management. We find that momentum risk management significantly … increases Sharpe ratios, but at the same time may lead to more pronounced negative skewness and tail risk. Furthermore, momentum …

Persistent link: https://www.econbiz.de/10011293745