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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993
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
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
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
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Resolving persistent uncertainty by self-organized consensus to mitigate market bubbles
Sornette, Didier; Andraszewicz, Sandra; Murphy, Ryan O.; … - 2016
We propose a new paradigm to study coordination in complex social systems, such as financial markets, that accounts for fundamental uncertainty. This new context has features from prediction markets that have been shown previously to mitigate price bubbles in classical asset market experiments....
Persistent link: https://www.econbiz.de/10011514493
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Financial Uncertainty with Ambiguity and Learning
Liu, Hening; Zhang, Yuzhao - 2020
benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical … relations between the risk-neutral variance and macroeconomic quantities and their volatilities respectively. We show that the … interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns …
Persistent link: https://www.econbiz.de/10014352422
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Economic Capital for Market Risk
Ebnöther, Silvan - 2015
The interaction of capital and risk for trading and treasury units is of primary interest in the corporate governance … of banks as it links operational profitability and strategic risk management. During the financial crisis, several banks …' trading units suffered significantly higher losses than their risk capital charged based on value-at-risk constraints. There …
Persistent link: https://www.econbiz.de/10013019606
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Right-of-Use Assets
Nissim, Doron - 2023
Accounting Standard Codification (ASC) Topic 842, which is effective since 2019, requires balance sheet recognition of operating lease obligations and right-of-use (ROU) assets. For many firms, the implementation of this standard resulted in a large increase in reported operating assets, thus...
Persistent link: https://www.econbiz.de/10014359150
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Financial stability under model uncertainty
Kantur, Zeynep; Özcan, Gülserim - In: Economics letters 173 (2018), pp. 65-68
Persistent link: https://www.econbiz.de/10012022901
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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013
sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …
Persistent link: https://www.econbiz.de/10010226589
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Uncertainty Times for Portfolio Selection at Financial Market
Oliveira, Andre Barbosa - 2018
The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented...
Persistent link: https://www.econbiz.de/10012924513
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Blindness to risk : why institutional investors ignore the risk of stranded assets
Silver, Nicholas - In: Journal of sustainable finance & investment 7 (2017) 1, pp. 99-113
Persistent link: https://www.econbiz.de/10011945033