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Journal of international financial markets, institutions, and money, 2018
Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis ...
J. Junttila, J. Pesonen, J. Raatikainen
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Based on daily data from 1989 to 2016 we find that the correlations between gold and oil market futures and equity returns in the aggregate US market, and specifically in the energy sector stocks have changed strongly during the stock market crisis ...
J. Junttila, J. Pesonen, J. Raatikainen
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2023
Abstract Remarkably, a theory of trade in risky securities can be derived through a simple reinterpretation of Chapter5’s theory of competitive markets, in particular the notion of a commodity. The chapter presents the three motives for trade in risky securities, when players have different exposure to non-systemic risk, different ...
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Abstract Remarkably, a theory of trade in risky securities can be derived through a simple reinterpretation of Chapter5’s theory of competitive markets, in particular the notion of a commodity. The chapter presents the three motives for trade in risky securities, when players have different exposure to non-systemic risk, different ...
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Risk, Inflation, and the Stock Market [PDF]
American Economic Review, 1983 Most explanations for the decline in share values over the past two decades have focused on the concurrent increase in inflation.This paper considers an alternative explanation: a substantial increase in the riskiness of capital investments. We show that the variance of firms' real gross marginal return on capital has increased significantly ...
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The Journal of Trading, 2009
The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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The Market Price of Risk, Size of Market and Investors' Risk Aversion: A Comment
The Review of Economics and Statistics, 1972that the ordinary least squares coefficient corresponding to the variable with the error will be biassed downward (in absolute value), and it is also seen that the direction and extent of bias in the other coefficients will depend directly on the covariances between those coefficient estimates and that of the offending variable.
Budd, A P, Litzenberger, Robert H
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Market risk disclosures and corporate governance structure: Evidence from GCC financial firms
Quarterly Review of Economics and Finance, 2017In this study, we examine the relationship between corporate governance and the disclosure of market risk among financial firms from the Gulf Cooperation Council (GCC) region between 2007 and 2011.
Ahmed Al-Hadi +3 more
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High Watermarks of Market Risk
SSRN Electronic Journal, 2009The volatility has long been used as an auxiliary variable in the processes explaining the returns on risky assets. In this traditional framework, the observable were the returns and the volatility remained a latent variable, whose value or possible values were a by-product of the estimation.
Bertrand Maillet +2 more
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Risk Overhang and Market Behavior
The Journal of Business, 1999We show that exposure from past business transactions – risk overhang – can reduce activity in related business lines, sometimes to the point where no new trade occurs. We focus primarily on the role of overhang in nonlife insurance market disruptions.
Gron, Anne, Winton, Andrew
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The Market Price of Risk, Size of Market and Investor's Risk Aversion: A Reply
The Review of Economics and Statistics, 1972Where G is the geometric mean rate of return on the individual's net worth. W,k is the kth individual's initial wealth. Using this approximation, the market price of risk, 4)-1, is equal to HaIM. The inclividual investor's risk aversion is W11,-1, E(1 R1,) _ W*1,k, and HaIM (I W*1k)l.
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Machine Learning for Risk Calculations, 2021
Ramon P. Degennaro, Chanaka Edirisinghe
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Ramon P. Degennaro, Chanaka Edirisinghe
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