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dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011994544
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …
Persistent link: https://www.econbiz.de/10012175486
portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better …
Persistent link: https://www.econbiz.de/10011604977
downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …
Persistent link: https://www.econbiz.de/10011412294
I construct a behavioral model of asset pricing in which agents choose whether to base their expectations on chartist or fundamental forecasts. I simulate the model in order to test its efficacy in explaining the moments and time series properties of the FTSE All-Share index, and find that the...
Persistent link: https://www.econbiz.de/10010288864
The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Results show the...
Persistent link: https://www.econbiz.de/10009545246
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...
Persistent link: https://www.econbiz.de/10011345060
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10009746573
monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …
Persistent link: https://www.econbiz.de/10009728132