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Have investors been looking for exposure to specific countries since the global financial crisis? : insights from the Swiss franc bond market
Nitschka, Thomas - 2014
disappear when controlling for measures of uncertainty such as stock price volatility. Swiss bond prices rose when stock market … volatility was high thus offering insurance in times of uncertainty. …
Persistent link: https://www.econbiz.de/10010495182
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Distinguishing rational and behavioral models of momentum
Li, Dongmei - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-30
Persistent link: https://www.econbiz.de/10010389087
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Uncertain risk parity
Shah, Anish R. - In: The journal of investment strategies 10 (2021) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10012805357
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Bitcoin's innovative aspects, return volatility and uncertainty shocks
Frascaroli, Bruno Ferreira - In: International Journal of Financial Markets and … 7 (2020) 3, pp. 224-245
Persistent link: https://www.econbiz.de/10012510290
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Influences of uncertainty on the returns and liquidity of cryptocurrencies : evidence from a portfolio approach
Nguyen Quang Binh; Thai-Ha Le; Nguyen Phuc Canh - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 2497-2513
Persistent link: https://www.econbiz.de/10013184899
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Pricing Poseidon: extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2021
Persistent link: https://www.econbiz.de/10012807282
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
Persistent link: https://www.econbiz.de/10012102573
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Innovation and stock market performance : a model with ambiguity-averse agents
Grieco, Daniela - In: Journal of evolutionary economics : JEE 28 (2018) 2, pp. 287-303
Persistent link: https://www.econbiz.de/10011948948
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Consumption volatility risk and the inversion of the yield curve
Grasso, Adriana; Natoli, Filippo - 2018
We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her risk perception which shape saving propensities over...
Persistent link: https://www.econbiz.de/10011816113
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Pricing Poseidon : extreme weather uncertainty and firm return dynamics
Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets … by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic … 5-10 percent, reflecting impact uncertainty. Using hurricane forecasts, we show that landfall uncertainty and potential …
Persistent link: https://www.econbiz.de/10012181922