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Schlesinger, Harris; Gollier, Christian - 2001

We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to fall. We show that these conditions neither imply,...

Persistent link: https://www.econbiz.de/10011398103

Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes

Gollier, Christian - 2012

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

Persistent link: https://www.econbiz.de/10009689360

Long memory and data frequency in financial markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …

Persistent link: https://www.econbiz.de/10011619676

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10013417581

Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Pesaran, M. Hashem; Smith, Ron - 2021

The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …

Persistent link: https://www.econbiz.de/10012499632

The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...

Persistent link: https://www.econbiz.de/10011794864

Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10011669019

Unemployment and debt dynamics in a highly indebted small open economy

Heer, Burkhard; Schubert, Stefan Franz - 2011

The paper analyzes the dynamic effects of a total factor productivity shock and an interest rate risk premium shock in a highly indebted open economy. In contrast to the standard open economy framework, search unemployment and wage bargaining are introduced. We find that a negative total factor...

Persistent link: https://www.econbiz.de/10009153857

Does risk aversion accelerate optimal forest rotation under uncertainty?

Alvarez, Luis H. R.; Koskela, Erkki - 2004

volatility increases, while higher risk aversion decreases the optimal harvesting threshold. Moreover, under risk aversion … increased forest value volatility decreases the optimal harvesting threshold, while it has no effect under risk neutrality …. Numerical illustrations indicate that higher interest rate volatility will raise the expected rotation period at an increasing …

Persistent link: https://www.econbiz.de/10011450936

On the tree-cutting problem under interest rate and forest value uncertainty

Alvarez, Luis H. R.; Koskela, Erkki - 2003

Persistent link: https://www.econbiz.de/10011505937