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Risk Preferences and the Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012984765
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Risk Preferences and The Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012456152
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Risk Preferences and the Macro Announcement Premium
Ai, Hengjie - 2016
The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and...
Persistent link: https://www.econbiz.de/10012982460
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Dimensions of the market risk
Danu, Marcela-Cornelia - In: Studies and scientific researches / Economics edition / … 19 (2014), pp. 17-26
Persistent link: https://www.econbiz.de/10011333803
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Optimal portfolio choices, house risk hedging and the pricing of forward house transactions
Fan, Gang-zhi; Pu, Ming; Ong, Seow-eng - In: The journal of real estate finance and economics 45 (2012) 1, pp. 3-29
Persistent link: https://www.econbiz.de/10009581771
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Coût du risque et risques interactifs
Eeckhoudt, Louis R.; Rey, Béatrice - In: Revue d'économie politique 114 (2004) 6, pp. 779-791
Persistent link: https://www.econbiz.de/10002528429
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Consumption Risk, Preference Heterogeneity and Asset Prices
Curatola, Giuliano - 2014
aggregate consumption, and a small degree of heterogeneity in risk aversion consistent with empirical data. We obtain closed …
Persistent link: https://www.econbiz.de/10013068369
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The Euro-Project at Risk
Hauskrecht, Andreas - 2014
disequilibria are skyrocketing and default risk premiums and tensions within the Euro area are rising, thus jeopardizing the …
Persistent link: https://www.econbiz.de/10013069650
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Multidimensional Risk and Risk Dependence
Polanski, Arnold - 2014
Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and Dependence in Risk …
Persistent link: https://www.econbiz.de/10013059574
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Multidimensional Risk and Risk Dependence
Polanski, Arnold - 2014
Evaluating multiple sources of risk is an important problem with many applications in finance and economics. In … of multidimensional density forecasts, multidimensional Value at Risk and dependence in risk …
Persistent link: https://www.econbiz.de/10013059578