Results 291 to 300 of about 7,235,641 (360)

Recovering the FOMC Risk Premium

Journal of Financial Economics, 2020
The Federal Open Market Committee (FOMC) meetings have significant impact on market returns. We propose a methodology to recover the risk premium associated with FOMC meetings from option prices. We also estimate the sizes of upward/downward market price
Hong Liu, Xiaoxiao Tang, Guofu Zhou
semanticscholar   +2 more sources

Biodiversity Risk Premium

SSRN Electronic Journal
Helena Naffa, Gergely Czupy
semanticscholar   +2 more sources

The Real Response to Uncertainty Shocks: the Risk Premium Channel

Management Sciences, 2019
Uncertainty shocks are also risk premium shocks. With countercyclical risk aversion (RA), a positive shock to uncertainty increases risk and elevates RA as consumption growth falls.
Lorenzo Bretscher, Alex Hsu, A. Tamoni
semanticscholar   +1 more source

The Bitcoin VIX and Its Variance Risk Premium

The Journal of Alternative Investments, 2019
The authors acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface.
C. Alexander, Arben Imeraj
semanticscholar   +1 more source

Risk Premium in the Era of Shale Oil

Social Science Research Network, 2019
The boom in the production of shale oil in the United States has triggered a structural transformation of the oil market. We show, both theoretically and empirically, that this process has significant consequences for oil risk premium.
Fabrizio Ferriani   +3 more
semanticscholar   +1 more source

The Globalization Risk Premium

The Journal of Finance, 2019
ABSTRACTIn this paper, we investigate how globalization is reflected in asset prices. We use shipping costs to measure firms' exposure to globalization. Firms in low shipping cost industries carry a 7% risk premium, suggesting that their cash flows covary negatively with investors' marginal utility.
Jean-Noel Barrot   +2 more
openaire   +2 more sources

Quantile Risk Premiums

SSRN Electronic Journal, 2020
This paper studies quantile-based moment premiums. The quantile-based approach delivers robust and flexible alternatives to premiums for variance, skewness and kurtosis risk and enhances our understanding of the pricing of risks in derivatives markets.
Felix Brinkmann   +2 more
openaire   +1 more source

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