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Investor fears and risk premia for rare events
Schwarz, Claudia - 2014 - This version: January 13, 2014
This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...
Persistent link: https://www.econbiz.de/10010249730
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Aggregate Tail Risk and Expected Returns
Chapman, David A. - 2016
We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected returns. In conditional predictive regression systems and vector-autoregressions of the market portfolio and the long- and shoresides of the Fama-French factor portfolios,...
Persistent link: https://www.econbiz.de/10013005673
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Disaster Risks in Bond Returns
Lin, Hai - 2019
We propose a news-implied rare disaster risk indicator and study its predictive power on the returns of U.S. Treasury … not spanned by the current yield curve. The disaster risk factor delivers a counter cycle bond risk premium, and the … predictability of disaster risk is more significant during periods of economic downturn. Our empirical findings show that disaster …
Persistent link: https://www.econbiz.de/10012860176
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Extreme inflation and time-varying expected consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2022 - This version: January 3, 2022
alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …
Persistent link: https://www.econbiz.de/10012797771
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Extreme inflation and time-varying consumption growth
Dergunov, Ilya; Meinerding, Christoph; Schlag, Christian - 2019
way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …
Persistent link: https://www.econbiz.de/10012000570
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Extreme weather risk and the cost of equity
Braun, Alexander; Braun, Julia; Weigert, Florian - 2023
We examine if extreme weather exposure impacts firms’ cost of equity. Motivated by a consumption-based asset pricing model with heterogeneous agents, we reveal the existence of an extreme weather risk premium in the cross-section of stock returns. In the period from 1995 to 2019, domestic U.S....
Persistent link: https://www.econbiz.de/10014456106
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Time-Varying Disaster Risk Models : An Empirical Assessment of the Rietz-Barro Hypothesis
Irarrazabal, Alfonso - 2015
This paper revisits the fit of disaster risk models where a representative agent has recursive preferences and the … probability of a macroeconomic disaster changes over time. We calibrate the model as in Wachter (2013) and perform two sets of …
Persistent link: https://www.econbiz.de/10013028991
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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. A comparable …
Persistent link: https://www.econbiz.de/10010491152
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Our results …
Persistent link: https://www.econbiz.de/10010412353
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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because … in theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption … plausible size, and the estimation precision is much higher than in previous studies that use the canonical CBM. Such a …
Persistent link: https://www.econbiz.de/10010388611