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Stroke of a Pen : Investment and Stock Returns under Energy Policy Uncertainty
Imbet, Juan F. - 2022
in the future - covaries positively with corporate investment and aggregate consumption growth, and its innovations carry … a negative price of risk. I propose and test a q-theory explanation in which firms invest in energy-efficient capital … when facing energy policy uncertainty. This uncertainty amplifies differences in investment between growth and value …
Persistent link: https://www.econbiz.de/10013300007
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Risk Premia to Political Uncertainty in Global Equity Markets
Sauer, Maximilian - 2018
Political uncertainty drives markets. Among macroeconomic forces, it is one of the fewfactors that systematically affect most assets - hence it qualifies as a state variable in the senseof the ICAPM and should carry a risk premium. We employ static and conditional factormodels using data in...
Persistent link: https://www.econbiz.de/10012909481
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Incorporating Liquidity Risk in Value-at-Risk Based on Liquidity Adjusted Returns
Wu, Lei - 2009
In this paper, based on Acharya and Pedersen's overlapping generation model, we show that liquidity risk could influence the market risk forecasting through at least two ways. Then we argue that traditional liquidity adjusted VaR measure, the simply adding of the two risk measure, would...
Persistent link: https://www.econbiz.de/10013156451
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The Systematic Risk of Short-Sale Restrictions
Hunanyan, Gevorg - 2017
In finance literature it is known that on a financial market in which short-selling of risky assets is restricted, the market portfolio is typically not efficient (see e.g. Fama and French (2004)). This paper analyses two different kinds of regulatory policies of short-sales on financial markets...
Persistent link: https://www.econbiz.de/10012957865
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Funding Shortfall Risk and Asset Prices in General Equilibrium
Hasan, Majid - 2017
Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries. This creates an additional risk in the economy, namely the risk of funding shortfall. We seek to explore the...
Persistent link: https://www.econbiz.de/10012969149
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Composite Liquidity : Characteristics and Risk
Schoepf, Wolfgang - 2013
Liquidity is a multidimensional concept with most liquidity measures proxying for only one of the many facets. Using nine low-frequency liquidity proxies, this study calculates composite liquidity measures by extracting the commonality across liquidity dimensions. As a stock characteristic,...
Persistent link: https://www.econbiz.de/10013089931
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Uncertainty about Future Economic Policy and Expected Stock Returns - International Evidence
Heigermoser, Robert - 2020
I investigate the role of economic policy uncertainty (EPU), proxied by the news-based measure of Baker et al. (2016), in the cross-section of individual stock returns in 23 countries. I estimate a stock's beta toward its country-specific EPU index (βEPU) and show that stocks in the lowest...
Persistent link: https://www.econbiz.de/10012838386
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Expropriation Risk by Block Holders, Institutional Quality and Expected Stock Returns
Hearn, Bruce Allen - 2017
We study the asset pricing implications arising from imperfect investor protection using a new governance measure. This is defined as the product of institutional quality in a country and the proportion of free float shares, which captures the impact of controlling block holders. Using monthly...
Persistent link: https://www.econbiz.de/10012970255
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Pricing Default Risk : The Good, The Bad, and The Anomaly
Ferreira Filipe, Sara - 2016
While empirical literature has documented a negative relation between default risk and stock returns, theory suggests …. In accordance with theory, we find that the systematic part, measured as the PD sensitivity to aggregate default risk, is …
Persistent link: https://www.econbiz.de/10013006759
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Mispricing and uncertainty in international markets
Sandulescu, Mirela; Schneider, Paul - 2021
We develop Residual MisPricing (RMP), an index capturing mispricing relative to a linear benchmark asset pricing model, from the structure imposed by no-arbitrage. RMP is fully conditional and depends only on the returns of basic assets. Return data for several economies reveal that RMP is...
Persistent link: https://www.econbiz.de/10012487677