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On the Risk-Return Tradeoff in the Stock Exchange of Thailand : New Evidence
Jiranyakul, Komain - 2011
This paper provides new evidence on the positive risk-return tradeoff in the Thai stock market using monthly data. An AR(p)-GARCH-in-mean model is applied to the data from January 1981 to December 2009. Since stock prices and dividend series are not cointegrated, the excess returns are...
Persistent link: https://www.econbiz.de/10013122882
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Risk and Return in Retail Forex
Karbalaee, Ali - 2013
Retail Forex as an online CFD market is generally known as a high risk area for traders. This study is focused on existing risks and return possibilities in this market. Risks which may threat traders are surveyed through Liquidity, Credit, and Control, plus Market risks. Value at Risk and...
Persistent link: https://www.econbiz.de/10013083734
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Uncertainty and Dispersion of Opinions
Kim, Min S. - 2018
We develop a model of risk-averse forecasters whose relative performance evaluation provides strategic misreporting incentives. Benchmarking against peers' performance results in herd behavior to avoid underperformance; a winner-take-all contest leads to deviations from peers. Uncertainty...
Persistent link: https://www.econbiz.de/10012940658
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Repos, Risk Aversion, and Haircuts
Otto, Daniel - 2014
Repurchase agreements ("repos") play a significant role in global credit market activity. Therefore, the individual decisions of repo market participants can weigh heavily on the broader economy. In order to analyze the decisions of these participants, our framework studies security repurchase...
Persistent link: https://www.econbiz.de/10013051306
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How Do Voluntary Disclosures on Climate Risk and Their Tone Affect CDS Premiums?
Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2022
We examine the effect of voluntary climate risk disclosure on Credit Default Swap (CDS) premiums. We develop a structural credit risk model, in which climate-related disclosures serve as an information source reducing uncertainty about climate risks. The model predicts a negative relation...
Persistent link: https://www.econbiz.de/10013404223
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Potential Role of Insurance Sector in Mitigating Climate Risk
Kumar, Sonjai - 2023
The insurance industry could potentially play a greater constructive role in mitigating climate risk by aligning with entities that scrupulously incorporate environmental, social, and governance (ESG) aspects in their business philosophy
Persistent link: https://www.econbiz.de/10014254725
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Impact of Climate Risk on the Insurance Industry
Kumar, Sonjai - 2023
Climate risk impacts the insurance industry on both sides of the balance sheets. On the one hand, rising weather-related claims are affecting the liability side. At the same time, there is an increasing expectation from investors, shareholders, customers and other stakeholders for insurers to...
Persistent link: https://www.econbiz.de/10014254839
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Der Einfluss von Institutionen auf Wagniskapital : wie sich Transaktionskosten, Unsicherheit und Wandel auf neue Unternehmen auswirken
Hoch, Felix; Lohwasser, Todor S. - 2019
, indem sie die Auswirkungen reduzierter Transaktionskosten und Unsicherheiten als institutionelle Ergebnisse auf … zeigen, dass Startups in Ländern mit (1) generell niedrigeren Transaktionskosten, die nicht durch Überregulierung …. Bereits finanzierte Startups überleben eher in Ländern mit (1) niedrigeren Transaktionskosten, (2) geringerer Unsicherheit und …
Persistent link: https://www.econbiz.de/10012104608
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Local risk-minimization under transaction costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...
Persistent link: https://www.econbiz.de/10009576212
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Hedging Non-Tradable Risks with Transaction Costs and Price Impact
Cartea, Álvaro - 2020
A risk-averse agent hedges her exposure to a non-tradable risk factor U using a correlated traded asset S and accounts for the impact of her trades on both factors. The effect of the agent's trades on U is referred to as cross-impact. By solving the agent's stochastic control problem, we obtain...
Persistent link: https://www.econbiz.de/10012852522