This research contributes to a better assessment of risk factors impacting non-listed real estate fund returns. Both … macroeconomic risk factors although our analyses suggest that non-listed real estate is more akin to direct real estate than it is …

in the risk free rate (price channel) ii) a decrease in the value of collateral held by the banks, which leads to an … through the price channel. The risk-free rate for loans seems more likely to be the swap rate. As such the existence of a …

the period from 2000 to 2021 using dynamic panel data models. The estimation results provide evidence of significant …

In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and …-varying parameter panel VAR model, with stochastic volatility, which allows us to formally quantify time variation in risk …-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis of the three risk …

We propose a new measure of the expected variance risk premium that is based on a forecast of the conditional variance … that drives the variance risk premium …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

market risk, and two typical event study approaches (the mean-adjusted-return approach and the market model approach). For … structural breaks in the data. Our results indicate that the event day return effect is partly justified by the risk and/or the … risk premium on that day …

We examine the existence of physical and transition climate risk premia in euro areaequity markets. To do so, we … develop two novel physical and transition risk indicators, basedon text analysis, which are then used to gauge the presence of … climate risk premia. Resultssuggest that climate risk premia for both, transition and physical climate risk, have …