Narrow search
Showing 1 - 10 of 41,405
Cover Image
Crash Sensitivity and the Cross-Section of Expected Stock Returns
Chabi-Yo, Fousseni - 2017
This paper examines whether investors receive compensation for holding crash-sensitive stocks. We capture the crash sensitivity of stocks by their lower tail dependence (LTD) with the market based on copulas. We find that stocks with strong LTD have higher average future returns than stocks with...
Persistent link: https://www.econbiz.de/10012975434
Cover Image
Aging, probability weighting, and reference point adoption : an experimental study
Suzuki, Ayako (contributor); Kume, Koichi (contributor) - 2008
incentives. We estimate the parameterized models in the framework of cumulative prospect theory and examine the risk aversion … elderly group’s behavior departs more from the traditional expected utility theory than does the young group’s behavior …. -- age ; cumulative prospect theory ; risk aversion ; probability weights ; reference point …
Persistent link: https://www.econbiz.de/10003757815
Cover Image
The impact of regret on exports
Broll, Udo; Welzel, Peter; Kit, Pong Wong - In: German economic review 17 (2016) 2, pp. 192-205
Persistent link: https://www.econbiz.de/10011474092
Cover Image
Ambiguity and the tradeoff theory of capital structure
Izhakian, Yehuda; Yermack, David L.; Zender, Jaime Francis - 2016
Persistent link: https://www.econbiz.de/10011591013
Cover Image
Regret theory and risk attitudes
Somasundaram, Jeeva; Diecidue, Enrico - In: Journal of risk and uncertainty : JRU 55 (2017) 2/3, pp. 147-175
Persistent link: https://www.econbiz.de/10011925173
Cover Image
An optimization model of retiree decisions under recursive utility with housing
Aydilek, Asiye; Aydilek, Harun - In: Journal of economics and finance : JEF 44 (2020) 2, pp. 258-277
Persistent link: https://www.econbiz.de/10012227219
Cover Image
The appeal of information transactions
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2012
An information transaction entails the purchase of information. Formally, it consists of an information structure together with a price. We develop an index of the appeal of information transactions, which is derived as a dual to the agent's preferences for information. The index of information...
Persistent link: https://www.econbiz.de/10009633817
Cover Image
The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
Cover Image
Alan Greenspan, the quants and stochastic optimal control
Stein, Jerome L. - 2010
Alan Greenspan’s paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...
Persistent link: https://www.econbiz.de/10003971912
Cover Image
Evolution and market behavior with endogenous investment rules
Bottazzi, Giulio; Dindo, Pietro - 2010
In a complete market for short-lived assets, we investigate long run wealth-driven selection on a general class of investment rules that depend on endogenously determined current and past prices. We find that market instability, leading to asset mis-pricing and informational efficiencies, is a...
Persistent link: https://www.econbiz.de/10008729026