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When the Blockchain Does Not Block : On Hackings and Uncertainty in the Cryptocurrency Market

Grobys, Klaus - 2020

A total of 1.1 million bitcoin were stolen in the 2013–2017 period. Noting that the average price for Bitcoin in 2018 … of this criminal activity. Investigating the response of the uncertainty of Bitcoin when hacking incidents occur, the …. Incidents of hacking that occur in the Bitcoin market affect uncertainty for another cryptocurrency Ethereum too. Again, the …

Persistent link: https://www.econbiz.de/10012839322

Downside risk and stock returns : an empirical analysis of the long-run and short-run dynamics from the G-7 Countries

Chen, Cathy Yi-Hsuan; Chiang, Thomas C.; Härdle, Wolfgang - 2016

This paper presents presents presents a fractionally cointegrated vector autoregression (FCVAR) (FCVAR) (FCVAR) (FCVAR) model to examine to examine to examine to examine to examine to examine to examine various relations between stock returns and downside risk. Evidence from major advanced...

Persistent link: https://www.econbiz.de/10011437764

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - In: Research in international business and finance 58 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013286262

Measuring the degree of persistence in the U.S. economic policy uncertainty index

Gil-Alaña, Luis A.; Payne, James E. - In: Applied economics letters 27 (2020) 10, pp. 831-835

Persistent link: https://www.econbiz.de/10012266923

Economic policy uncertainty : persistence and cross-country linkages

Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020

of persistence, and also carries out appropriate break tests. Further, the possible co-movement of this index between …

Persistent link: https://www.econbiz.de/10012219127

Real Options Valuation Under Uncertainty

Lambert, Marie - 2016

In this paper we develop a novel valuation model and methodology to value a pharmaceutical R&D project based on real options approach. The real options approach enables the possibility of optimally abandon the project before completion whenever the investment cost turns out to be larger than the...

Persistent link: https://www.econbiz.de/10013003948

Monetary Policy Uncertainty and Bond Risk Premium

Jiang, Fuwei - 2017

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts significantly and positively future monthly Treasury...

Persistent link: https://www.econbiz.de/10012968326

Economic Policy Uncertainty in China and Stock Market Expected Returns

Chen, Jian - 2017

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

Oil Price Risk Exposure : A Comparison of Financial and Non-Financial Subsectors

Shaeri, Komeil - 2017

This study examines the oil price risk exposure of U.S. financial and non-financial industries over the period of January 1983 to March 2015. We include the oil price risk factor into the Fama and French five-factor asset pricing model and identify the structural breaks in the equity returns...

Persistent link: https://www.econbiz.de/10012968881

Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard

Piatti, Ilaria - 2017

This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and...

Persistent link: https://www.econbiz.de/10012973305