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Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

Persistent link: https://www.econbiz.de/10012847804

Pricing Poseidon : Extreme Weather Uncertainty and Firm Return Dynamics

Kruttli, Mathias S. - 2020

volatility to ex post realized volatility by analyzing volatility risk premia changes due to hurricanes indicates that investors …

Persistent link: https://www.econbiz.de/10012850911

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...

Persistent link: https://www.econbiz.de/10012181922

How does Climate Risk Spillover and Uncertainty Affect US Stock Markets?

Khalfaoui, Rabeh; Mefteh-Wali, Salma; viviani, jean-laurent - 2022

In this study, we attempt to revisit how dependent the US stock market returns are on climate change-related risks (CCRR). In this regard, we use a spillover and connectedness network analysis to assess the strength of the causal effect and transmission pathway of CCRR proxies (green index,...

Persistent link: https://www.econbiz.de/10013406460

Two New Risk Metrics : Liquidity Asian Put VaR(TM) and Shortfall(TM) to LIQUIDATION Based on Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Mo...

Crousillat, Cesar - 2017

This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than … the portfolio value. Risk to LIQUIDATION means every day-t, a portion of portfolio assets-i, for integer i ϵ (1, N) is …

Persistent link: https://www.econbiz.de/10012962743

Mean-variance relationship and uncertainty

Kim, Jun Sik - In: Journal of derivatives and quantitative studies : … 30 (2022) 1, pp. 23-45

empirical evidence is consistent with investors’ attitudes toward uncertainty and risk, firms’ fundamentals and leverage effects …

Persistent link: https://www.econbiz.de/10012887264

Countercyclical Fluctuations in Uncertainty are Endogenous

Bernstein, Joshua; Plante, Michael; Richter, Alexander W.; … - 2021

This paper uses a battery of calibrated and estimated structural models to determine the causal drivers of the negative correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while aggregate uncertainty endogenously responds to...

Persistent link: https://www.econbiz.de/10013219154

Endogenous Indeterminacy and Volatility of Asset Prices Under Ambiguity

Mandler, Michael - 2012

If agents are ambiguity-averse and can invest in productive assets, asset prices can robustly exhibit indeterminacy in the markets that open after the productive investment has been launched. For indeterminacy to occur, the aggregate supply of goods must appear in precise configurations but the...

Persistent link: https://www.econbiz.de/10013114388

The Effect of Uncertainty on Investment, Hiring, and R&D : Causal Evidence from Equity Options

Stein, Luke C.D. - 2014

There is wide debate over the impact of uncertainty on firm behavior, due to the difficulty both of measuring uncertainty and of identifying causality. This paper takes three steps that attempt to address these challenges. First, we develop an instrumental variables strategy that exploits firms'...

Persistent link: https://www.econbiz.de/10013069505

Explosive oil prices

Gronwald, Marc - 2013

This paper deals with three aspects of spectacular oil price episodes such as the one witnessed in 2008. First, the concept of temporary explosiveness is proposed as an empirical method for capturing this type of behavior. The application of a recently proposed recursive unit root test shows...

Persistent link: https://www.econbiz.de/10009786017