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Risk, Gordon's growth model, and the predictability of stock market returns

Attanasio, Orazio P.; Wadhwani, Sushil B. - 1989 - Rev

Persistent link: https://www.econbiz.de/10000819088

Risk measurement and risk modelling using applications of vine copulas

Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014

Persistent link: https://www.econbiz.de/10010410215

Pricing of idiosyncratic equity and variance risks

Gourier, Elise - 2016

This paper decomposes the risk premia of individual stocks into contributions from systematic and idiosyncratic risks … 80% of the equity and variance risk premia, respectively. I provide a categorization of sectors based on the risk profile …

Persistent link: https://www.econbiz.de/10011410917

Carbon boards and transition risk: explicit and implicit exposure implications for total stock returns and dividend payouts

Mazzarano, Matteo; Guastella, Gianni; Pareglio, Stefano; … - 2021

The Security and Exchange Commission (SEC) has considered climate change as a risk issue since 2010. Several emission … financial performances, especially of listed companies. There are two ways these companies can disclose their transition risk … exposure and are not alternatives. One is the explicit declaration of exposure to transition risk in the legally binding …

Persistent link: https://www.econbiz.de/10012694482

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

Uncertainty and stock returns in energy markets: a quantile regression approach

Cedic, Samir; Mahmoud, Alwan; Manera, Matteo; Uddin, … - 2021

The aim of this paper is to analyze the relationship between different types of uncertainty and stock returns of the renewable energy and the oil & gas sectors. We use the quantile regression approach developed by Koenker and d'Orey (1987; 1994) to assess which uncertainties are the potential...

Persistent link: https://www.econbiz.de/10012510024