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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper

Grammig, Joachim; Sönksen, Jantje - 2014

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensations for unlikely but calamitous risks that they happened not to incur. While convincing in theory, empirical tests of the rare disaster...

Persistent link: https://www.econbiz.de/10010491152

Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models ; conference paper

Grammig, Joachim; Schaub, Eva-Maria - 2014

The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles … correlation of consumption and the equilibrium conditions for market return and risk-free rate, as well as the model …-implied predictability of the risk-free rate. We match analytical moments when possible and simulated moments when necessary and determine …

Persistent link: https://www.econbiz.de/10010490550

Decomposing risk in dynamic stochastic general equilibrium : conference paper

Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013

-varying risk adjustment channel that induces variability in conditional asset pricing measures and assigns a substantial portion of … moments into contributions from shifts in the distribution of future shocks (i.e., risk) and from realized shocks and … utilization, output drops in response to an increase in risk, but the contributions to the variance of macroeconomic variables …

Persistent link: https://www.econbiz.de/10010487749

The financial crisis and the regulation of finance

Green, Christopher J. (ed.) - 2011

Persistent link: https://www.econbiz.de/10009008288

Financial markets : imperfect information and risk management

Baldassarri, Mario (ed.); Bagella, Michele (contributor); … - 2001 - 1. publ.

Persistent link: https://www.econbiz.de/10001567050

The financial crisis and the regulation of finance

Green, Christopher J. (ed.); Pentecost, Eric J. (ed.); … - 2011

The 2007-08 financial crisis has posed substantial challenges for bankers, economists and regulators: was it preventable, and how can such crises be avoided in future? This book addresses these questions. The Financial Crisis and the Regulation of Finance includes a comprehensive overview of the...

Persistent link: https://www.econbiz.de/10011850630

Coherent price systems and uncertainty-neutral valuation : conference paper

Beißner, Patrick - 2013 - This version: 28 February, 2013

We consider fundamental questions of arbitrage pricing arising when the uncertainty model incorporates volatility uncertainty. With a standard probabilistic model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see...

Persistent link: https://www.econbiz.de/10010338399

The transmission of US financial stress : evidence for emerging market economies conference paper

Fink, Fabian; Schüler, Yves S. - 2013 - This draft: January 18, 2013

We provide empirical evidence that US financial stress shocks (US-FSSs) are an important driver for economic dynamics and fluctuations in emerging market economies (EMEs). Applying a structural vector autoregression, we analyze the international transmission of US-FSSs to eight EMEs using...

Persistent link: https://www.econbiz.de/10010344608

A friendly turn : advertising bias in the news media ; conference paper

Focke, Florens; Niessen-Ruenzi, Alexandra; Ruenzi, Stefan - 2014

This paper investigates whether newspapers report more favorably about advertising corporate clients than about other firms. Our identification strategy based on high-dimensional fixed effects and high frequency advertising data shows that advertising leads to more positive press coverage. This...

Persistent link: https://www.econbiz.de/10010487261

Liquidity risk, speculative trade, and the optimal latency of financial markets : conference paper

Fricke, Daniel; Gerig, Austin - 2014

Garbade and Silber (1979) demonstrate that an asset will be liquid if it has (1) low price volatility and (2) a large number of public investors who trade it. Although these results match nicely with common notions of liquidity, one key element is missing: liquidity also depends on (3) an asset...

Persistent link: https://www.econbiz.de/10010484462

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