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The Greenium matters : evidence on the pricing of climate risk
Lucia, Alessi; Elisa, Ossola; Roberto, Panzica - 2019
This study provides evidence on the existence of a negative Greenium, i.e. a green risk premium, based on European … portfolio exposure to climate risk and hedge against it. We estimate that even in a rather benign scenario, there would be …
Persistent link: https://www.econbiz.de/10012053558
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Daily market news sentiment and stock prices
Allen, David E.; McAleer, Michael; Singh, Abhay K - 2015
In recent years there has been a tremendous growth in the influx of news related to traded assets in international financial markets. This financial news is now available via print media but also through real-time online sources such as internet news and social media sources. The increase in the...
Persistent link: https://www.econbiz.de/10011301201
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Option characteristics as cross-sectional predictors
Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus … - 2022
We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...
Persistent link: https://www.econbiz.de/10013279457
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a …
Persistent link: https://www.econbiz.de/10011860248
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Language tone in financial news media and the cross-section of stock returns
Bask, Mikael; Forsberg, Lars; Östling, Andreas - 2020
the language tone in news articles is not a priced risk factor in the cross-section of stock returns. Nevertheless, the …
Persistent link: https://www.econbiz.de/10012207268
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Social security and the interactions between aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This version: March 20, 2014
aggregate risk. We argue that interactions between the two risks are important for this question. One is a direct interaction in … the form of a countercyclical variance of idiosyncratic income risk. The other indirectly emerges over a household's life …-cycle because retirement savings contain the history of idiosyncratic and aggregate shocks. We show that this leads to risk …
Persistent link: https://www.econbiz.de/10010359333
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Social security and the interactions between aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This Version: July 9, 2014
aggregate risk. We argue that interactions between the two risks are important for this question. One is a direct interaction in … the form of a countercyclical variance of idiosyncratic income risk. The other indirectly emerges over a household's life …-cycle because retirement savings contain the history of idiosyncratic and aggregate shocks. We show that this leads to risk …
Persistent link: https://www.econbiz.de/10010374428
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Why does idiosyncratic risk increase with market risk?
Bartram, Söhnke M.; Brown, Gregory W.; Stulz, René M. - 2016
From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive … relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …
Persistent link: https://www.econbiz.de/10011520321
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Social security in an analytically tractable overlapping generations model with aggregate and idiosyncratic risk
Harenberg, Daniel; Ludwig, Alexander - 2014 - This Version: September 22, 2014
When markets are incomplete, social security can partially insure against idiosyncratic and aggregate risks. We incorporate both risks into an analytically tractable model with two overlapping generations and demonstrate that they interact over the life-cycle. The interactions appear even though...
Persistent link: https://www.econbiz.de/10010419846
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Pricing of idiosyncratic equity and variance risks
Gourier, Elise - 2016
This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …
Persistent link: https://www.econbiz.de/10011410917