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Credit lines as monitored liquidity insurance : theory and evidence
Acharya, Viral V.; Almeida, Heitor; Ippolito, Filippo; … - In: Journal of financial economics 112 (2014) 3, pp. 287-319
Persistent link: https://www.econbiz.de/10010421845
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
We study the pricing of shocks to uncertainty and volatility using a novel and wide-ranging set of options contracts. If uncertainty shocks are viewed as bad by investors, portfolios that hedge them should earn negative premia. Empirically, however, such portfolios have historically earned...
Persistent link: https://www.econbiz.de/10012897413
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012650655
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2021
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10013224964
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
a simple extension of the long-run risk model …
Persistent link: https://www.econbiz.de/10012480268
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2019
Persistent link: https://www.econbiz.de/10012124936
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A Quantity-Based Approach to Constructing Climate Risk Hedge Portfolios
Alekseev, Georgij; Giglio, Stefano; Maingi, Quinn; … - 2022
climate risk beliefs. We exploit two types of idiosyncratic belief shocks: (i) instances when fund advisers experience local … hedge portfolios for aggregate unemployment and house price risk …
Persistent link: https://www.econbiz.de/10014236043
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020
Persistent link: https://www.econbiz.de/10012300973
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When do treasuries earn the convenience yield? : a hedging perspective
Acharya, Viral V.; Laarits, Toomas - 2023
Persistent link: https://www.econbiz.de/10014422408
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Bank Use of Sovereign CDS in the Eurozone Crisis : Hedging and Risk Incentives
Acharya, Viral V. - 2019
long exposures to sovereign risk during this period. Lower loan exposure to sovereign risk is associated with greater … protection selling in CDS, the effect being weaker when sovereign risk is high. Bank and country risk variables are mostly not … building a complete picture and understanding fully the economic drivers of the bank-sovereign nexus of risk …
Persistent link: https://www.econbiz.de/10012898392