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Temperature, Aggregate Risk, and Expected Returns
Bansal, Ravi - 2011
In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …
Persistent link: https://www.econbiz.de/10013118834
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Cointegration and Consumption Risks in Asset Returns
Bansal, Ravi - 2007
a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …
Persistent link: https://www.econbiz.de/10012465546
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Risk and return of a trend-chasing application in financial markets: an empirical test
Ilomäki, Jukka - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 3, pp. 258-272
Persistent link: https://www.econbiz.de/10011885978
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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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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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Financial returns, risks and asset pricing in Korean art investment
Nahm, Joon-woo - 2013
Persistent link: https://www.econbiz.de/10011938661
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Risks and chances of foreign investors in the Russian capital market
Mirkin, Jakov M. - In: Banken in globalen und regionalen …, (pp. 149-162). 1997
Persistent link: https://www.econbiz.de/10001295721
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Learning about risk and return : a simple model of bubbles and crashes
Branch, William A. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003728483
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Cointegration and consumption risks in asset returns
Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - In: The review of financial studies 22 (2009) 3, pp. 1343-1375
Persistent link: https://www.econbiz.de/10003827757
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Cointegration and consumption risks in asset returns
Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - 2007
a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …
Persistent link: https://www.econbiz.de/10003472865