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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
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
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555
While empirical literature has documented a negative relation between default risk and stock returns, the theory … suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating … components. The systematic part, measured as the PD sensitivity to aggregate default risk, is positively related to stock returns …
Persistent link: https://www.econbiz.de/10011861135
Persistent link: https://www.econbiz.de/10008668608
Persistent link: https://www.econbiz.de/10013328240
risk and emphasizes its role as a long-run determinant of productivity, output, and income stability, and the likelihood of …
Persistent link: https://www.econbiz.de/10014536288
inflation expectations and risk premia. This entails jointly pricing and decomposing nominal and real UK yields. We find …
Persistent link: https://www.econbiz.de/10011339919
market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …
Persistent link: https://www.econbiz.de/10011883446
Persistent link: https://www.econbiz.de/10011820277