Showing 1 - 10 of 12
Persistent link: https://www.econbiz.de/10011282755
Persistent link: https://www.econbiz.de/10008933153
This paper examines whether rare disaster can predict stock returns. We construct an aggregate rare disaster index by imposing the partial least square (PLS) approach on six news-implied rare disaster proxies of Manela and Moreira (2017). Our disaster measure strongly predicts monthly excess...
Persistent link: https://www.econbiz.de/10012900931
We investigate the impact of China's economic policy uncertainty (EPU) on the time series variation of Chinese stock market expected returns. Using the news based measure in Baker, Bloom, and Davis (2016), we find that EPU predicts negatively future stock market return at various horizons. This...
Persistent link: https://www.econbiz.de/10012968808
Online discount voucher market In the discount voucher market, customers usually face two types of valuation uncertainty, namely, preference uncertainty and consumption state uncertainty. Preference uncertainty is related to the customer's lack of relevant experience with the merchant, whereas...
Persistent link: https://www.econbiz.de/10013005788
During the recent housing recession and financial crisis, mortgage modification has been heavily promoted by government as a way to stabilize the housing and the national banking systems. Numerous programs, such as the Home Owners Preserving Equity (HOPE), Home Affordability Modification Program...
Persistent link: https://www.econbiz.de/10013056105
This paper proposes a novel way of pricing S&P500 index options in the presence of jump risk. Our analysis is built upon an equilibrium option pricing rule for a representative agent economy. In particular, we use the weighted utility's certainty equivalent to specify agent's risk preference,...
Persistent link: https://www.econbiz.de/10012992993
We study how to manage commodity risks (price and volume) via procurement and financial hedging for a value-at-risk (VaR) risk-averse newsvendor. Facing stochastic procurement cost from the commodity market, the firm decides on its financial hedging strategy contingent on the procurement cost...
Persistent link: https://www.econbiz.de/10012829942
Persistent link: https://www.econbiz.de/10012139649
Persistent link: https://www.econbiz.de/10011617231