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The life-cycle and the business-cycle of wage risk: a cross-country comparison

Bayer, Christian; Juessen, Falko - 2009

This paper provides a cross-country comparison of life-cycle and business-cycle fluctuations in the dispersion of household-level wage innovations. We draw our inference from household panel data sets for the US, the UK, and Germany. First, we find that household characteristics explain about...

Persistent link: https://www.econbiz.de/10010271322

Global Economic Uncertainty and the U.S. Equity Returns

Jahan-Parvar, Mohammad R.; Kitsul, Yuriy; Rahman, Jamil A. - 2021

We document the predictive ability and economic significance of global economic policy uncertainty for U.S. equity returns. After orthogonalizing global economic policy uncertainty (global EPU) with respect to the U.S. EPU, we find that it has significant predictive power for aggregate stock...

Persistent link: https://www.econbiz.de/10013242535

Economic Policy Uncertainty and Fund Flow Performance Sensitivity : Evidence from New Zealand

Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza; Hegde, … - 2022

Utilizing a large sample of actively managed equity funds and a recently developed EPU index for New Zealand, we show that fund flow performance sensitivity decreases with policy uncertainty. The role of policy uncertainty as a determinant of fund flow performance sensitivity is found to be...

Persistent link: https://www.econbiz.de/10014030582

Economic Policy Uncertainty and Institutional Investment Returns : The Case of New Zealand

Ali, Sara; Badshah, Ihsan Ullah; Demirer, Rıza; Hegde, … - 2022

This study introduces a monthly news-based economic policy uncertainty index for New Zealand (NZ EPU) and examines the pricing implications of our newly constructed NZ EPU on a large sample of institutional investors. We find that NZ EPU is a priced and an undiversifiable risk factor that...

Persistent link: https://www.econbiz.de/10013292783

Do the Rich Gamble in the Stock Market? Low Risk Anomalies and Wealthy Households

Bali, Turan G.; Günaydin, A. Doruk; Jansson, Thomas; … - 2021

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative...

Persistent link: https://www.econbiz.de/10013240163

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Bali, Turan G. - 2016

We investigate the role of economic uncertainty in the cross-sectional pricing of individual stocks and equity portfolios. We estimate stock exposure to an economic uncertainty index and show that stocks in the lowest uncertainty beta decile generate 6% more annualized risk-adjusted return...

Persistent link: https://www.econbiz.de/10012986401

Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?

Bali, Turan G. - 2020

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

Persistent link: https://www.econbiz.de/10012856755

Financial Uncertainty and the Cross-Section of Cryptocurrency Returns

Colak, Gonul; Della Vedova, Joshua; Foley, Sean; Mai, … - 2023

Our study evaluates the return sensitivity of cryptocurrencies to various measures of uncertainty (uncertainty beta). We identify that crypto returns react primarily to financial uncertainty, which is the unforecastable component of multiple financial indicators. However, crypto returns are not...

Persistent link: https://www.econbiz.de/10014349550

The Solvency II Standard Formula, linear geometry, and diversification

Paulusch, Joachim - In: Journal of risk and financial management : JRFM 10 (2017) 2, pp. 1-12

The core of risk aggregation in the Solvency II Standard Formula is the so-called square root formula. We argue that it … should be seen as a means for the aggregation of different risks to an overall risk rather than being associated with … immediately find that it defines a norm and therefore provides a homogeneous and sub-additive tool for risk aggregation. Hence …

Persistent link: https://www.econbiz.de/10011669008

Uncertainty, rationality and complexity in a multi sectoral dynamic model : the dynamic stochastic generalized aggregation approach

Catalano, Michele; Di Guilmi, Corrado - 2016

Persistent link: https://www.econbiz.de/10011757185