Narrow search
Showing 1 - 10 of 8,302
Cover Image
Extreme Risk, Excess Return and Leverage : The LP Formula
Le Marois, Olivier - 2014
The LP formula is based upon the substitution of the exogenous risk aversion hypothesis by a credit equilibrium hypothesis. This leads to a trade-off between expected blue-sky return – the expected return excluding default scenarios – and extreme risk estimated from scenarios leading to...
Persistent link: https://www.econbiz.de/10013045157
Cover Image
Explainable AI Models of Stock Crashes : A Machine-Learning Explanation of the Covid March 2020 Equity Meltdown
Ohana, Jean-Jacques; Ohana, Steve; Benhamou, Eric; … - 2021
We consider a gradient boosting decision trees (GBDT) approach to predict large S&P 500 price drops from a set of 150 technical, fundamental and macroeconomic features. We report an improved accuracy of GBDT over other machine learning (ML) methods on the S&P 500 futures prices. We show that...
Persistent link: https://www.econbiz.de/10013236548
Cover Image
Idiosyncratic Production Risk, Growth, and the Business Cycle
Angeletos, George-Marios; Calvet, Laurent E. - 2015
We introduce a neoclassical growth economy with idiosyncratic production risk and incomplete markets. Each agent is an entrepreneur operating her own neoclassical technology with her own capital stock. The general equilibrium is characterized in closed form. Idiosyncratic production shocks...
Persistent link: https://www.econbiz.de/10014034132
Cover Image
Essays on capital markets and real estate finance
Beracha, Eli - 2007
Persistent link: https://www.econbiz.de/10009269710
Cover Image
Local labor market and the cross section of stock returns
Ge, Yao; Qiao, Zheng; Zheng, Hao - In: Journal of international money and finance 138 (2023), pp. 1-26
Persistent link: https://www.econbiz.de/10014478202
Cover Image
Robustness of the headquarters-city effect on stock returns
Anderson, Christopher W.; Beracha, Eli - In: The journal of financial research 31 (2008) 3, pp. 271-300
Persistent link: https://www.econbiz.de/10003765716
Cover Image
Risk and Abnormal Returns in Markets for Congestion Revenue Rights
Baltaduonis, Rimvydas - 2017
Transmission Rights (FTRs) to hedge against grid congestion charges, while third party speculators attempt to capture a return with … and detecting the presence of abnormal returns among these financial instruments. The prevalence of congestion paths with … known as Congestion Revenue Rights (CRRs). This paper applies the proposed methodology to all auctioned CRRs from 2009 …
Persistent link: https://www.econbiz.de/10012959316
Cover Image
Jobs, location, and real estate
Chinloy, Peter - In: The journal of real estate finance and economics 4 (1991) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10001160447
Cover Image
Local price variation and labor supply behavior
Black, Dan A. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003741433
Cover Image
Social security incidence under uncertainty assessing Italian reforms
Geron, Devis - 2009
This paper analyzes the welfare effects of the Italian social security system in an economy with uncertainty on wages, financial market returns and life expectancy. The introduction of a pension system reproducing the Italian statutory scheme turns out to decrease ex-ante individual welfare,...
Persistent link: https://www.econbiz.de/10003888079