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Capital structure and financial flexibility : expectations of future shocks

Lambrinoudakis, Costas; Neumann, Michael; Skiadopoulos, … - 2014 - This draft: 3 October 2014

equity options. We find that expectations for future shocks decrease leverage and are statistically significant even when we …

Persistent link: https://www.econbiz.de/10010472840

Estimating Subjective Probabilities

Andersen, Steffen; Fountain, John; Harrison, Glenn W.; … - 2009

Subjective probabilities play a role in many economic decisions. There is a large theoretical literature on the elicitation of subjective probabilities, and an equally large empirical literature. However, there is a gulf between the two. The theoretical literature proposes a range of procedures...

Persistent link: https://www.econbiz.de/10012142359

Export decision under risk

Sousa, José de; Disdier, Anne-Célia; Gaigné, Carl - 2019

Persistent link: https://www.econbiz.de/10012234761

Dissecting idiosyncratic earnings risk

Halvorsen, Elin; Holter, Hans A.; Ozkan, Serdar; … - 2022

Persistent link: https://www.econbiz.de/10013367877

The Value of Tradeability

Chesny, Mark; Kempf, Alexander - Institut für Schweizerisches Bankwesen <Zürich> - 2011

This paper determines the value of asset tradeability in an option pricing framework.In our model, tradeability is valuable since it allows investors to exploit temporary mis-pricings of stocks. The model delivers several novel insights on the value of tradeability:The value of tradeability is...

Persistent link: https://www.econbiz.de/10009249000

The Endogenous Price Dynamics of Emission Allowances: An Application to CO2 Option Pricing

Chesney, Marc; Taschini, Luca - Institut für Schweizerisches Bankwesen <Zürich> - 2011

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost effective measure leading to the emergence of both nationwide (SO2 ) and supranational (CO2 ) emission...

Persistent link: https://www.econbiz.de/10005857751

Ambiguity Aversion and the Term Structure of Interest Rates

Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reﬂect a premium for ambiguity, which is observationally distinct from the risk...

Persistent link: https://www.econbiz.de/10005858032

Foreign Direct Investment and Exchange Rate Volatility: a Non-Linear Story

Jeanneret, Alexandre - Institut für Schweizerisches Bankwesen <Zürich> - 2007

volatility: the effct is negative for low levels of uncertainty and positive for higher levels. I also construct a real-options … predictions and the theoretical approach stand in stark contrast to the real-options literature, which implies a negative relation … the influence of exchange rate volatility on the expected investment level. The paper therefore extends the real-options …

Persistent link: https://www.econbiz.de/10005858054

The role of outliers and oil price shocks on volatility of metal prices

Behmiri, Niaz Bashiri; Manera, Matteo - 2015

This study investigates the price volatility of metals, using the GARCH and GJR models. First we examine the persistence of volatility and the leverage effect across metal markets taking into account the presence of outliers, and second we estimate the effects of oil price shocks on the price...

Persistent link: https://www.econbiz.de/10011327443

Futures price volatility in commodities markets : the role of short term vs long term speculation

Manera, Matteo; Nicolini, Marcella; Vignati, Ilaria - 2013

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt four indexes of speculation: Working's T, the market share of non-commercial traders, the percentage of net long speculators over total open interest in future markets, which...

Persistent link: https://www.econbiz.de/10009756298