Results 141 to 150 of about 441,620 (312)
On the Impacts of Crisis on the Risk Premium: Evidence from the US Stock Market using a Conditional CAPM [PDF]
This article investigates the evolution of the US risk premium in periods of crisis. First, we estimate a conditional CAPM with time-varying systematic risk and price of risk using a multivariate GARCH-in-Mean model.
Fredj Jawadi, Mohamed El Hedi Arouri
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Agribusiness, EarlyView.ABSTRACT European agriculture is increasingly exposed to economic instability driven by extreme weather events, market volatility, and geopolitical tensions. To manage these growing risks, farmers are encouraged to adopt innovative risk management strategies such as the Income Stabilization Tool (IST), which offers protection against severe income ...
Alice Stiletto +5 more
wiley +1 more source
Risk premia in Australian interest rates [PDF]
The level of and movements in interest rates and the exchange rate can have a substantial impact on the economic performance of Australia's primary industries.
Bartley, Scott W., Douglas, Justin J.
core +1 more source
Agribusiness, EarlyView.ABSTRACT Brazil and the United States account for more than 40% of global poultry exports, with China and South Korea among their major destination markets. This study examines price transmission and market linkages between Brazil and the United States using monthly poultry export price data from January 1990 to December 2024. It also assesses which of
Khondoker Abdul Mottaleb +2 more
wiley +1 more source
Initial premium, aggregate claims and distortion risk measures in XL reinsurance with reinstatements [PDF]
With reference to risk adjusted premium principle, in this paper we study excess of loss reinsurance with reinstatements in the case in which the aggregate claims are generated by a discrete distribution.
Antonella Campana, Paola Ferretti
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When the River Runs Low: Heterogeneous Impacts of Transportation Disruptions on Local Grain Basis
Agribusiness, EarlyView.ABSTRACT A substantial share of U.S. soybean and corn exports from the Midwest moves by barge along the Mississippi River system to export terminals in the Louisiana Gulf. Transportation costs between Midwestern grain elevators and export terminals create a wedge between prices at these locations, and shocks to these costs are partially passed on to ...
Yuan Zhang +3 more
wiley +1 more source
Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation [PDF]
This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990’s onward.
John Okunev, Patrick J. Wilson
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American Journal of Agricultural Economics, EarlyView.Abstract Germany's Renewable Energy Sources Act (REA), enacted in 2000 and subsequently amended, subsidized national renewable energy production with fixed feed‐in tariffs for renewable energy sources (RE) from wind, solar, and biogas. Empirical studies suggest that the policy was creating windfall effects for landowners and attribute farmland use ...
Lars Isenhardt +6 more
wiley +1 more source
American Journal of Agricultural Economics, EarlyView.Abstract Our general interest is in global trade loss from livestock pathogens, specifically exports. We adopt a causal inference approach that considers animal disease outbreaks over time as non‐staggered binary treatments with the potential for switching in (infection) and out of treatment (recovery) within the sample period. The outcome evolution of
Mohammad Maksudur Rahman +1 more
wiley +1 more source
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options [PDF]
We use a novel pricing model to filter times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors.
Pedro Santa-Clara, Shu Yan
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