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Stochastic Idiosyncratic Cash Flow Risk and Real Options : Implications for Stock Returns
Bhamra, Harjoat Singh - 2016
based on introducing stochastic idiosyncratic cash flow risk into an equity valuation model of firms with growth options …. Within our model, a firm's systematic risk depends on the delta of its growth option. The growth option's delta is lower when … idiosyncratic volatility rises, driving down the firm's systematic risk and hence its expected return - firms with higher …
Persistent link: https://www.econbiz.de/10013007739
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Firm-specific information and systemic risk
Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493
Persistent link: https://www.econbiz.de/10012428956
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Marktorientierte Unternehmensbewertung : discounted cash flow, realoption, economic value added und der direct comparison approach
Nowak, Karsten - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001525024
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Climate policy uncertainty through production networks : evidence from the stock market
Yao, Xiaoyang; He, Wenjing; Li, Jianfeng; Le, Wei - In: Economics letters 233 (2023), pp. 1-3
Persistent link: https://www.econbiz.de/10014506003
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Should network structure matter in agent-based finance?
Alfarano, Simone (contributor);  … - 2007
We derive microscopic foundations for a well-known probabilistic herding model in the agent-based finance literature. Lo and behold, the model is quite robust with respect to behavioral heterogeneity, yet structural heterogeneity, in the sense of an underlying network structure that describes...
Persistent link: https://www.econbiz.de/10003635302
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Dynamic Networks and Asset Pricing
Buraschi, Andrea - 2012
a positive centrality price of risk and a sizable centrality risk premium. Furthermore, network centrality helps to … motivate the value premium as a distress causality risk premium: part of the expected return of value stocks in excess of …
Persistent link: https://www.econbiz.de/10013108999
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News, Corporate Network and Price Discovery
Creamer, Germán G. - 2013
This paper evaluates the role of a corporate network in spreading news and in particular shows how it affects prices. We build daily corporate news network using companies of the STOXX 50 index as nodes; the weights of the edges are the number of news items sharing common topics between...
Persistent link: https://www.econbiz.de/10013091265
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Joint Dynamics of Investor Networks and Stock Prices
Le, Viet Hung - 2020
We introduce various network similarity measures that can capture the topological changes of investor networks over time. We use them to study the joint dynamics of investor networks and stock price time series. We find that the network changes are positively correlated with volatility while...
Persistent link: https://www.econbiz.de/10012837049
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Monetary Policy Through Production Networks : Evidence from the Stock Market
Ozdagli, Ali K. - 2017
Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect...
Persistent link: https://www.econbiz.de/10012953959