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The behavior of uncertainty and disagreement and their roles in economic prediction : a panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also … explore the relationship between uncertainty and disagreement, as well as their roles in respondents' forecast performance and … forecast revisions. We observe substantial heterogeneity in respondents' uncertainty and disagreement. In addition, there is …
Persistent link: https://www.econbiz.de/10011604042
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Risk management-driven policy rate gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10011884396
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Risk Management-Driven Policy Rate Gap
Caggiano, Giovanni; Castelnuovo, Efrem; Nodari, Gabriela - 2018
of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …
Persistent link: https://www.econbiz.de/10011931927
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The behavior of uncertainty and disagreement and their roles in economic prediction: A panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also … explore the relationship between uncertainty and disagreement, as well as their roles in respondents' forecast performance and … forecast revisions. We observe substantial heterogeneity in respondents' uncertainty and disagreement. In addition, there is …
Persistent link: https://www.econbiz.de/10011796451
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The fatality risks of sport-utility vehicles, vans, and pickups
Gayer, Ted - 2001
This paper presents a model of vehicle choice and empirically examines the risk posed by light trucks (sport-utility vehicles, vans, and pickups) to those that drive them and to other drivers, relative to the risk posed by cars. It compares the relative risk of dying and the relative crash...
Persistent link: https://www.econbiz.de/10011511058
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Market Risk and the Momentum Mystery
Kolari, James W. - 2019
This paper employs the ZCAPM asset pricing model of Liu, Kolari, and Huang (2018) to show that momentum returns are highly related to market risk arising from return dispersion (RD). Cross-sectional tests show that momentum risk loadings and RD risk loadings are similarly priced in momentum...
Persistent link: https://www.econbiz.de/10012897530
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Sentiment Analysis as Reputational Risk Indicator
Perales-González, Carlos - 2018
Fundaments of classification lie on the interdependences between the features and the labels to classify. For social parameters, this relationships are difficult to model and measure. In this paper, a way of obtaining a social indicator using sentiment analysis in Twitter is explained. With the...
Persistent link: https://www.econbiz.de/10012932524
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The GJR GARCH(1,1) Process As Regularly Varying : Implications for Efficient Model Estimation and Risk Measurement
Prono, Todd - 2018
Linear GARCH(1,1) and GJR GARCH(1,1) processes are established as regularly varying, meaning their heavy tails follow a Power Law, under conditions that allow the innovations from the, respective, processes to be either symmetrically distributed or skewed. Skewness is considered a stylized fact...
Persistent link: https://www.econbiz.de/10012933309
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On Pricing Kernels, Information and Risk
Wilcox, Diane - 2015
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...
Persistent link: https://www.econbiz.de/10013034895
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Expected Profitability, the 52-Week High and the Idiosyncratic Volatility Puzzle
Khasawneh, Maher; McMillan, David G.; Kambouroudis, Dimos S - 2021
We investigate the joint ability of fundamental-based and market-based news to explain the anomalous underperformance of the stocks with high idiosyncratic volatility (high IVOL). An out-of-sample prediction of future profitability is adopted as a proxy for the fundamental–based news while...
Persistent link: https://www.econbiz.de/10013322478