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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - 2019
measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent’s nowcast …
Persistent link: https://www.econbiz.de/10012129784
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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - 2021
Persistent link: https://www.econbiz.de/10012704696
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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - 2021
Persistent link: https://www.econbiz.de/10012878659
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Asymmetries in Risk Premia, Macroeconomic Uncertainty and Business Cycles
Görtz, Christoph - 2019
measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk … premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent's nowcast …
Persistent link: https://www.econbiz.de/10012858207
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Asymmetries in risk premia, macroeconomic uncertainty and business cycles
Görtz, Christoph; Yeromonahos, Mallory - In: Journal of economic dynamics & control 137 (2022), pp. 1-20
Persistent link: https://www.econbiz.de/10013464503
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A General Equilibrium Model of the Value Premium with Time-Varying Risk Premia
Chen, Andrew Y. - 2017
A simple general equilibrium production economy matches moments of the value premium and equity premium. Value firms have low productivity, but will eventually produce high cash flows. The present value of these temporally distant cash flows is especially sensitive to equity premium movements....
Persistent link: https://www.econbiz.de/10012969553
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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
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
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Which financial frictions? : parsing the evidence from the financial crisis of 2007-09
Adrian, Tobias; Colla, Paolo; Shin, Hyun Song - 2011
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10009411381
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Which Financial Frictions? Parsing the Evidence from the Financial Crisis of 2007-09
Adrian, Tobias - 2012
The financial crisis of 2007-09 has sparked keen interest in models of financial frictions and their impact on macro activity. Most models share the feature that borrowers suffer a contraction in the quantity of credit. However, the evidence suggests that although bank lending contracted during...
Persistent link: https://www.econbiz.de/10013113163
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Firm Characteristics and Stock Returns : The Role of Investment-Specific Shocks
Kogan, Leonid - 2018
Average return differences among firms sorted on valuation ratios, past investment, prof-itability, market beta, or idiosyncratic volatility are largely driven by differences in exposures offirms to the same systematic factor related to embodied technology shocks. Using a calibratedstructural...
Persistent link: https://www.econbiz.de/10012940233