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Rombolotti Axelrod, Alessio - 2014

While discussing risk issues someone told me as a joke that she wished the world were riskless and the fact that risk were present in any instance in our lives was a rather unfortunate circumstance. But would we be really better off in a riskless world?Although it may appear to be a trivial...

Persistent link: https://www.econbiz.de/10013057660

From Risk-Based Betas to Value-at-Risk : Estimating Monetary Risk with Market Data

Rombolotti Axelrod, Alessio - 2014

In the Capital Asset Pricing Model (CAPM) the β-parameter is related to the risk level of an asset and takes on values ranging around 1. I argue that β is also a function of the monetary risks the asset is exposed to, hence monetary risk can be estimated from betas. On the other hand, if we...

Persistent link: https://www.econbiz.de/10013059168

When Are Investment Projects in the Same Risk Class?

Johnstone, David - 2015

overlooked, is that investments have the same risk, the same returns beta and the same CAPM discount rate if and only if they …

Persistent link: https://www.econbiz.de/10013018978

Forward-Looking Tail Risk Measures

Huggenberger, Markus - 2018

We present an analytical framework for the forward-looking measurement of extreme market risk. In contrast to standard techniques relying on past return data, we propose to extract Value-at-Risk and Expected Shortfall under the physical measure from current option prices. Our empirical evidence...

Persistent link: https://www.econbiz.de/10012934763

Policy Uncertainty and Investment Goods Price Adjustment : Evidence from China's Land Leasing Market

Liang, Mo; Li, Xiaoyang; Yang, Jidong - 2021

Economic policy uncertainty has prominent effect on investment and output. Using unique transaction level land leasing … data in China, this paper explores the impact of economic policy uncertainty on Chinese firms’ price premium in the land … leasing market transactions. On average, 1% increase in policy uncertainty level reduces the land transaction premium by …

Persistent link: https://www.econbiz.de/10013216398

A new risk measure customized for individual investors

Dong, Linjia; Yang, Zhaojun - 2021

FinTech makes numerous financial products accessible to common investors but up to now, there is no risk measure method specially customized for common investors instead of financial institutions which are generally too big to fail. This paper develops a hedging-based utility risk measure (HBU)...

Persistent link: https://www.econbiz.de/10013219636

The Asset Pricing Implications of Government Economic Policy Uncertainty

Brogaard, Jonathan - 2015

Using the Baker, Bloom, and Davis (2013) news-based measure to capture economic policy uncertainty (EPU) in the United …

Persistent link: https://www.econbiz.de/10013036850

Options and Risk

Bruno, Giovanni - 2020

We propose a parsimonious general equilibrium extension of the Black-Scholes economy that helps clarify how options' prices, expected returns, risk exposure, and optimal exercise policies respond to variations in the risk exposure of the underlying asset. The model allows one to separate the...

Persistent link: https://www.econbiz.de/10012830325

How Do Investors React to Different Types of Economic Uncertainty? Empirical Analysis of Great East-Japan Earthquake and COVID-19

Miyawaki, Yusuke; Kitanishi, Iria - 2021

This paper uses two economic shocks, a catastrophic earthquake, the Great East-Japan Earthquake, that hit Japan on March 11, 2011 and the pandemic in 2020, to determine if investors respond differently by the types of economic shocks. We analyze the factors affecting the abnormal returns during...

Persistent link: https://www.econbiz.de/10013321791

De and re-levering betas with risky debt

Krause, Marko Volker - In: Business research 12 (2019) 2, pp. 703-720

De- and re-levering betas is important to obtain discount rates for assets that are not publicly traded. A de- and re-levering procedure is around for the case of risk-free debt. The procedure for risky debt is much less clear even under very simplifying assumptions. In this paper, I concretize...

Persistent link: https://www.econbiz.de/10012256377