Results 341 to 350 of about 7,199,199 (374)
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The Real Response to Uncertainty Shocks: the Risk Premium Channel
Management Sciences, 2019Uncertainty 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
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Risk Premium in the Era of Shale Oil
Social Science Research Network, 2019The 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
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New Evidence on Economic Policy Uncertainty and Equity Risk Premium
, 2017Motivated by well-documented observations that the Chinese equity market is dominated by risk-seeking speculators with a behavioural bias, we test the hypothesis that China's economic policy uncertainty (EPU) commands a positive equity premium.
Xiaoming Li
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Is There a Risk Premium in the Stock Lending Market? Evidence from Equity Options
Journal of Finance, 2016A recent literature suggests that uncertainty about future stock lending fees is an impediment to short-selling and this risk explains part of the returns to shorting. However, an investor can use the option market to establish a synthetic short position
Dmitriy Muravyev +2 more
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Social Science Research Network, 2021
This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within industry generates an average return of 4.42% per annum, which remains ...
Po-Hsuan Hsu, Kai Li, Chi-yang Tsou
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This paper studies the asset pricing implications of industrial pollution. A long-short portfolio constructed from firms with high versus low toxic emission intensity within industry generates an average return of 4.42% per annum, which remains ...
Po-Hsuan Hsu, Kai Li, Chi-yang Tsou
semanticscholar +1 more source
Risk Premium in Electricity Prices: Evidence from the PJM Market
, 2015In this article, we construct a stochastic model for electricity spot prices, derive a pricing formula for electricity forward contracts, and specify risk premia inherent in such contracts.
Yuewen Xiao, David B. Colwell, R. Bhar
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Equity Premium, the Equity Premium Puzzle, and the Risk‐Free Rate Puzzle
, 2015The equity premium is simply the return on the stock market in excess of the risk-free rate.
I. Garrett
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Updating the Recession Risk and the Excess Bond Premium
, 2016Beginning with the publication of this Note, we will provide updated estimates of the EBP and the associated model-implied probability of a U.S. recession every month.
Giovanni Favara +3 more
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Recession Risk and the Excess Bond Premium
, 2016Corporate bond spreads and the slope of the Treasury yield curve (that is, the term spread) are two financial indicators that are especially informative about the likelihood of an economic downturn over a medium-term horizon.
Giovanni Favara +3 more
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