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This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...
Persistent link: https://www.econbiz.de/10012233219
We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...
Persistent link: https://www.econbiz.de/10011751251
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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
This study contributes to the investigation of the macro- finance interface by assessing the economic content and risk based interpretation of widely employed risk factors in the specifi cation of empirical asset pricing models, i.e., Fama-French size and value, and Carhart momentum factors, as...
Persistent link: https://www.econbiz.de/10013061549
accounting for important features of bond return models such as time varying parameters, volatility dynamics, and unspanned macro …
Persistent link: https://www.econbiz.de/10012972962
Historically, value stocks earn higher average returns than growth stocks; however, the capital asset pricing model (CAPM) cannot explain this pattern, which is called the value premium puzzle. This study shows that uncertainty shocks can explain the puzzle. Intuitively, the value of growth...
Persistent link: https://www.econbiz.de/10012965668
returns on stocks, adjusted for volatility, are much higher in recessions than in expansions. We consider feasible trading …
Persistent link: https://www.econbiz.de/10013115734
uncertainty and recursive utility function. Within such a framework, the negative volatility risk premium implied from option …
Persistent link: https://www.econbiz.de/10013117074