Narrow search
Showing 1 - 10 of 751,463
Cover Image
Futures and options
Gürkaynak, Refet S.; Wright, Jonathan H. - In: Research handbook of financial markets, (pp. 490-508). 2023
Persistent link: https://www.econbiz.de/10014331092
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011994544
Cover Image
Financial uncertainty, risk aversion and monetary policy
Inekwe, Nkwoma John - In: Empirical economics : a journal of the Institute for … 51 (2016) 3, pp. 939-961
Persistent link: https://www.econbiz.de/10011554354
Cover Image
Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …
Persistent link: https://www.econbiz.de/10012175486
Cover Image
Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - 2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011756113
Cover Image
Credit markets with imperfect information : risk-aversion versus pessimism
Arcand, Jean-Louis L.; Macdonald, Stuart - In: Economics letters 165 (2018), pp. 35-38
Persistent link: https://www.econbiz.de/10011973820
Cover Image
Liquidity black holes : understanding, quantifying and managing financial liquidity risk
Persaud, Avinash D. (contributor); Persaud, Avinash (ed.) - 2003
Persistent link: https://www.econbiz.de/10001783784
Cover Image
Role of hedging on crypto returns predictability : a new habit-based explanation
Dunbar, Kwamie; Owusu-Amoako, Johnson - In: Finance research letters 55 (2023) 2, pp. 1-10
Persistent link: https://www.econbiz.de/10014473553
Cover Image
Risk Aversion, Uninsurable Idiosyncratic Risk, and the Financial Accelerator
Candian, Giacomo - 2020
We develop a tractable model to study jointly the role of non-diversifiable risk and financial frictions for business … cycles. Non-diversifiable risk induces strong precautionary motives, which reduce the exposure of entrepreneurs to aggregate … fluctuations in asset prices and risk premia, thus making the economy more resilient to financial shocks. We provide microeconomic …
Persistent link: https://www.econbiz.de/10012856635
Cover Image
Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163