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We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009354100
We explore the pricing of variance risk by decomposing stocks' total variance into systematicand idiosyncratic return variances. While systematic variance risk exhibits a negative priceof risk, common shocks to the variances of idiosyncratic returns carry a large positive riskpremium. This...
Persistent link: https://www.econbiz.de/10009486815
Persistent link: https://www.econbiz.de/10008909466
Persistent link: https://www.econbiz.de/10010486501
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We develop a real-options model for optimizing production and sourcing choices under evolutionary supply-chain risk. We model lead time as an endogenous decision and calculate the cost differential required to compensate for the risk exposure coming from lead time. The shape of the resulting...
Persistent link: https://www.econbiz.de/10014175184
When do short lead times warrant a cost premium? Decision makers generally agree that short lead times enhance competitiveness, but have struggled to quantify their benefits. Blackburn (2012) argued that the marginal value of time is low when demand is predictable and salvage values are high. De...
Persistent link: https://www.econbiz.de/10013054642