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Comprehensive Reassessment of Economic Uncertainty and Corporate Investment
In: IREF-D-22-01076
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Time-Varying Window Length for Correlation Forecasts
In: Econometrics 2017, 5, 54: DOI at http://dx.doi.org/10.3390/econometrics5040054
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Which economic uncertainty measure matters for households' portfolio decision?
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 44, Heft 2, S. 343-369
ISSN: 1475-6803
AbstractIn this study, we address two research questions: Do recently developed economic uncertainty measures matter for household portfolio choices? If so, which measure is most important? Using household data, we compare 16 uncertainty measures in our unified framework. We find that the economic policy uncertainty (EPU) measure is the most important for household portfolios. We further find that married, more educated, older, and wealthier households are more sensitive to EPU. Finally, our findings highlight the importance of labor income in the sensitivity of households' portfolio decisions to uncertainty.
Fragmentation in the Bitcoin Market: Evidence From Multiple Coexisting Order Books
In: Finance Research Letters, Forthcoming
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Working paper
Stock Return Autocorrelations and Expected Option Returns
In: Management Science (Forthcoming)
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News as Sources of Jumps in Stock Returns: Evidence From 21 Million News Articles for 9000 Companies
In: Forthcoming, Journal of Financial Economics (JFE). https://doi.org/10.1016/j.jfineco.2021.08.002
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Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity
In: Rotman School of Management Working Paper No. 2797308
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Weather Variance Risk Premia
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