Results 1 to 10 of about 82,916 (38)
Cross-Sectional Uncertainty and the Business Cycle: Evidence from 40 Years of Options Data
Social Science Research Network, 2020 This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995 and subsequently had three distinct peaks—during the tech ...
Ian Dew-Becker, Stefano Giglio
semanticscholar +1 more source
Staggered Boards and the Value of Voting Rights
The Review of Corporate Finance Studies, 2021 This paper examines the impact of staggered boards on the value of voting rights (i.e., the voting premium) estimated using option prices. We find companies with staggered boards have a higher voting premium.
Oğuzhan Karakaş, Mahdi Mohseni
semanticscholar +1 more source
A Bayesian Approach to Inference on Probabilistic Surveys
Social Science Research Network, 2022 We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether US Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy ...
Marco Del Negro, R. Casarin, F. Bassetti
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Dynamic Inconsistency in Risky Choice: Evidence from the Lab and Field
Social Science Research Network, 2020 We document a robust dynamic inconsistency in risky choice. Using a unique brokerage dataset and a series of experiments, we compare people's initial risk-taking plans to their subsequent decisions.
Rawley Z. Heimer +3 more
semanticscholar +1 more source
Rare Disasters, Financial Development, and Sovereign Debt
Journal of Finance, 2022 We propose a model of sovereign debt in which countries vary in their level of financial development, defined as the extent to which they can issue debt denominated in domestic currency in international capital markets.
Sergio Rebelo, Neng Wang
semanticscholar +1 more source
Finance and Economics Discussion Series
, 2016 A structural model with stochastic volatility and jumps implies specific relationships between observed equity returns and credit spreads. This paper explores such effects in the credit default swap (CDS) market.
Minchul Shin, M. Zhong
semanticscholar +1 more source
Innovation in Decentralized Markets: Technology versus Synthetic Products
American Economic Journal: MicroeconomicsAdvances in market-clearing technology for multiple assets and synthetic products present alternative ways to leverage complementarities and substitutabilites in asset payoffs. This paper compares their equilibrium and welfare effects.
M. Rostek, J. Yoon
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What to Expect from the Lower Bound on Interest Rates: Evidence from Derivatives Prices
The American Economic Review, 2018 This paper analyzes the effects of the lower bound for interest rates on the distributions of inflation and interest rates. In a New Keynesian model with a lower bound, two equilibria emerge: policy is mostly unconstrained in the “target equilibrium ...
Thomas M. Mertens, John C. Williams
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Non-Diversifiable Volatility Risk and Risk Premiums at Earnings Announcements
, 2014 : This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a risk premium. We find that investors anticipate some earnings announcements to convey news that increases market return volatility and ...
Mary E. Barth, Eric C. So
semanticscholar +1 more source