Narrow search
Showing 1 - 10 of 3,612
Cover Image
Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
Cover Image
Optimal clean energy R&D investments under uncertainty
Marangoni, Giacomo; De Maere d'Aertrycke, Gauthier; … - 2017
&D portfolio. The resulting ranking across technologies is robust to changes in risk-aversion, R&D budget limitation and assump …
Persistent link: https://www.econbiz.de/10011622101
Cover Image
Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts
Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021
The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …
Persistent link: https://www.econbiz.de/10012694482
Cover Image
The effects of the energy transition on power sector employment in Latin America
López, David; Weiss, Mariana; Pessanha, Jose Francisco … - 2023
The present study analyzes the relationship between energy transition and job creation potential in Latin America. It looks at companies' characteristics to infer potential hiring process drivers in forthcoming years. The analysis is based on an econometric model applied to cross-sectional data...
Persistent link: https://www.econbiz.de/10014474531
Cover Image
Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek; Kayal, Parthajit - 2023
Persistent link: https://www.econbiz.de/10014375126
Cover Image
Uncertainty and stock returns in energy markets: a quantile regression approach
Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021
The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...
Persistent link: https://www.econbiz.de/10012510024
Cover Image
Integrated environmental assessment of future energy scenarios based on economic equilibrium models
Igos, Elorri; Rugani, Benedetto; Rege, Sameer; Benetto, … - 2015
The future evolution of energy supply technologies strongly depends on (and affects) the economic and environmental systems, due to the high dependency of this sector on the availability and cost of fossil fuels, especially on the small regional scale. This paper aims at presenting the modeling...
Persistent link: https://www.econbiz.de/10010476197
Cover Image
Integration of power generation capacity expansion in an applied general equilibrium model
De Maere d'Aertrycke, Gauthier; Durand-Lasserve, Olivier; … - 2014
This paper presents a version of a hybrid (top-down bottom-up), multi-region multi-period forward looking applied general equilibrium model, MERGE, that includes a capacity expansion submodel of the electricity sector with demand represented by various time segments. This model is solved...
Persistent link: https://www.econbiz.de/10010403543