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~subject:"Risikoprämie"
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Risikoprämie
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1
Premium auctions in the field
Onderstal, Sander
-
2017
In a field
experiment
, we study the revenue-generating properties of premium auctions. In a premium auction, the runner …
experiment
, we compare two types of premium auctions with the standard Vickrey auction selling high-quality, limited …
Persistent link: https://www.econbiz.de/10011602712
Saved in:
2
Information Environment and Equity Risk Premium Volatility Around the World
Lau, Sie Ting
-
2014
This paper examines whether and how differences in investors' information environment are related to cross-country differences in the market risk premium volatility. We use the vector-autoregressive and implied cost of capital methods to extract time variation in risk premiums for 41 developed...
Persistent link: https://www.econbiz.de/10013066999
Saved in:
3
Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses
Cashin, David B.
-
2020
Treasury securities normally possess unparalleled safety and liquidity and, consequently, carry a money premium. We use recent debt limit impasses, which temporarily increased the riskiness of Treasuries, to investigate the relationship between the money premium, safety, and liquidity. Our...
Persistent link: https://www.econbiz.de/10012834175
Saved in:
4
The Treasury Auction Risk Premium
Herb, Patrick
-
2020
I empirically show that underpricing of uniform-price U.S. Treasury auctions is explained by risk premia. I posit that intermediaries demand a risk premium to offset future secondary market price uncertainty, in which uncertainty is captured by treasury auction return volatility, which is...
Persistent link: https://www.econbiz.de/10012852687
Saved in:
5
One Risk, Two Debts : The Effects of Rare Disasters on Credit Markets
Xu, Hui
-
2021
The COVID-19 pandemic has highlighted the impacts that rare disasters can have on credit markets. We discuss and quantify the asset-pricing implications of disaster risk on the risk-free rate, credit spreads, and their term structures. The findings underscore the heterogeneous effects of...
Persistent link: https://www.econbiz.de/10013236218
Saved in:
6
Sovereign Risk and Bank-Specific CDS Pricing
Meine, Christian
-
2015
Employing time series of single-name CDS market spreads from 29 European banks located in the EU-12 plus Switzerland and the UK over the period from January 2004 through September 2010 this paper analyses the relationship between increasing sovereign risk and bank-specific CDS pricing. Results...
Persistent link: https://www.econbiz.de/10013036499
Saved in:
7
Implicit Entropic Market Risk-Premium from Interest Rate Derivatives
Arismendi-Zambrano, Juan
-
2020
Implicit in interest rate derivatives are Arrow-Debreu prices (or state price densities, SPDs) that contain fundamental information for risk and portfolio management in interest rate markets. To extract such information from interest rate derivatives, we propose a non-parametric method to...
Persistent link: https://www.econbiz.de/10012828071
Saved in:
8
Does policy uncertainty affect equity, commodity, interest rates, and currency markets? : evidence from CBOE's volatility index
Shaikh, Imlak
- In:
Journal of business economics and management
21
(
2020
)
5
,
pp. 1350-1374
Economic policy drives investment, production, employment, and other macroeconomic indicators of the economy. The study examines the equity, commodity, interest rates, and currency markets, taking into consideration the US economic policy uncertainty (EPU) index. The present work determines the...
Persistent link: https://www.econbiz.de/10012271841
Saved in:
9
Bond Default Matters in China : Evidence from Illiquidity Premium
Gao, Haoyu
;
Hao, Dapeng
;
Jia, Calvin Dun
;
Qiu, Zhigang
-
2022
This paper studies how market-wide credit risk affects the liquidity pricing in the bond market. With the emerging wave of China's bond defaults, the illiquidity premium is observed only after the first bond default, and it becomes significantly larger with the rising market-wide credit risk. In...
Persistent link: https://www.econbiz.de/10013406173
Saved in:
10
Informational contagion in the laboratory
Cipriani, Marco
;
Guarino, Antonio
;
Guazzarotti, Giovanni
; …
-
2015
We study the informational channel of financial contagion in the laboratory. In our
experiment
, two markets with …
Persistent link: https://www.econbiz.de/10010488290
Saved in:
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