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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
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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
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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
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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/10012850911
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for fifteen key euro area trade partners and the euro...
Persistent link: https://www.econbiz.de/10012503567
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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...
Persistent link: https://www.econbiz.de/10012060122
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Teasing Out Tail Risk or, Quantum Mechanics to the Rescue : A Practical Method for Characterizing Downside Risk in Non-Gaussian Return Distributions
Stock, Robert D. - 2020
single intuitive number, defined here as the “crash volatility”, to characterize the true left-tail risk as an alternative to … optimizer to finally “see” the risk effect of the non-Gaussian distribution. An example using Amaranth's returns before it lost … -71% in September, 2006 illustrates how these new techniques caught a much higher level of risk lurking in the data …
Persistent link: https://www.econbiz.de/10012844430
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Complementarity and macroeconomic uncertainty
Atkinson, Tyler; Plante, Michael; Richter, Alexander W.; … - 2020
Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series—shows considerable variation in the data. A typical assumption in business cycle models is that production is Cobb-Douglas. Under that assumption, this paper shows there is...
Persistent link: https://www.econbiz.de/10012230543
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Implied Volatility Duration : a measure for the timing of uncertainty resolution
Schlag, Christian; Thimme, Julian; Weber, Rüdiger - 2020 - This version: January 27, 2020
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...
Persistent link: https://www.econbiz.de/10012157194
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Good Deal Hedging and Valuation Under Combined Uncertainty About Drift and Volatility
Becherer, Dirk - 2018
for overly attractive reward-to-risk ratios are excluded, by restricting instantaneous Sharpe ratios for any market …
Persistent link: https://www.econbiz.de/10012934249