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Zero-coupon interest rates : evaluating three alternative datasets

Díaz Pérez, Antonio; Jareño, Francisco; Navarro … - 2018

The zero-coupon yield curve is a common input for most financial purposes. The authors consider three popular yield curve datasets, and explore the extent to which the decision as to what dataset to use for an application may have implications on the results. The paper illustrates why such...

Persistent link: https://www.econbiz.de/10011901875

Covariance effect

Moore, Bartholomew John; Schaller, Huntley - In: Macroeconomic dynamics 6 (2002) 4, pp. 523-547

Persistent link: https://www.econbiz.de/10001697943

Heterogeneous Beliefs about Rare Event Risk in the Lucas Orchard

Piatti, Ilaria - 2017

This paper investigates the asset pricing implications of investor disagreement about the likelihood of a systematic disaster. I specify a general equilibrium model with multiple trees and heterogeneous beliefs about rare event risk, to understand how risk-sharing mechanisms affect equity and...

Persistent link: https://www.econbiz.de/10012973305

Expected Equity Returns Should Correlate with Idiosyncratic Risk

Bruno, Giovanni - 2018

law of one price, and is present in all but risk-neutral economies. We test the cross-sectional predictions of our theory … equity than for assets, and stronger for more levered firms — consistent with the theory. We test also the timeseries … implications of the theory. Time variation in asset ivol causes time variation in the option value of equity that translates into …

Persistent link: https://www.econbiz.de/10012910108

Correlation Neglect in Belief Formation

Enke, Benjamin - 2013

-connected information sources, implying a pattern of "overshooting" beliefs. Additionally, in an experimental asset market, correlation …

Persistent link: https://www.econbiz.de/10013082140

Correlation Neglect in Belief Formation

Enke, Benjamin - 2013

-connected information sources, implying a pattern of “overshooting” beliefs. Additionally, in an experimental asset market, correlation …

Persistent link: https://www.econbiz.de/10013072106

Belief formation under signal correlation

Hossain, Tanjim; Okui, Ryo - In: Games and economic behavior 146 (2024), pp. 160-183

Persistent link: https://www.econbiz.de/10015135083

Hybrid tail risk and expected stock returns : when does the tail wag the dog?

Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013

Persistent link: https://www.econbiz.de/10010191590

Correlation neglect in belief formation

Enke, Benjamin; Zimmermann, Florian - 2013

-connected information sources, implying a pattern of "overshooting" beliefs. Additionally, in an experimental asset market, correlation …

Persistent link: https://www.econbiz.de/10010211474

Correlation neglect in belief formation

Enke, Benjamin; Zimmermann, Florian - 2013

-connected information sources, implying a pattern of "overshooting" beliefs. Additionally, in an experimental asset market, correlation … learning. -- beliefs ; correlation neglect ; experiments ; markets ; overshooting …

Persistent link: https://www.econbiz.de/10009740017