Zobrazeno 1 - 10
of 43
pro vyhledávání: '"Ian Dew-Becker"'
Autor:
Ian Dew-Becker, Stefano Giglio
Publikováno v:
American Economic Journal: Macroeconomics. 15:65-96
This paper presents a novel and unique measure of cross-sectional uncertainty constructed from stock options on individual firms. Cross-sectional uncertainty varied little between 1980 and 1995 and subsequently had three distinct peaks—during the t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3c2d36d827e8c525d7827bc383d077c1
https://doi.org/10.1257/mac.20210136
https://doi.org/10.1257/mac.20210136
Publikováno v:
Journal of Financial Economics. 142:23-45
We study the pricing of shocks to uncertainty and volatility using a wide-ranging set of options contracts covering a variety of different markets. If uncertainty shocks are viewed as bad by investors, they should carry negative risk premiums. Empiri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ecf3bda751f82e083042cb1a2a9d8182
https://doi.org/10.1016/j.jfineco.2021.05.053
https://doi.org/10.1016/j.jfineco.2021.05.053
Autor:
Ian Dew-Becker
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::17ba51a23edf5ae9dca6d47c50852653
https://doi.org/10.2139/ssrn.4222682
https://doi.org/10.2139/ssrn.4222682
Autor:
Ian Dew-Becker
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f17c3ab90a5f74c9686e1537b38a5e14
https://doi.org/10.2139/ssrn.4222683
https://doi.org/10.2139/ssrn.4222683
This paper studies asymmetry in economic activity over the business cycle. It develops a tractable multisector model of the economy in which complementarity across inputs causes aggregate activity to be left skewed with countercyclical volatility. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f51ef820aa383b89f27d9fc52b4986a
https://doi.org/10.3386/w29499
https://doi.org/10.3386/w29499
Publikováno v:
The Review of Financial Studies. 33:1-43
We study the effects of policies proposed to address “short-termism” in financial markets. We examine a noisy rational expectations model in which investors’ exposures and information about fundamentals endogenously vary across horizons. In thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0eb5b3d79cca46689833585f54bdaf1c
https://doi.org/10.1093/rfs/hhz053
https://doi.org/10.1093/rfs/hhz053
Autor:
Ian Dew-Becker, Charles G. Nathanson
Publikováno v:
Journal of Economic Theory. 181:461-496
This paper examines the implications of learning for the effects of ambiguity aversion. The key result is that since agents naturally choose to learn about the sources of uncertainty that reduce utility the most, information acquisition attenuates th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8bcacb86602d96d4d7846ecffd0f60fe
https://doi.org/10.1016/j.jet.2019.03.004
https://doi.org/10.1016/j.jet.2019.03.004
Publikováno v:
The Review of Economic Studies. 87:40-76
We provide evidence on the relationship between aggregate uncertainty and the macroeconomy. Identifying uncertainty shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility are robu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ec5fe1767b916b9e8dfd1348c36e8dc2
https://doi.org/10.1093/restud/rdz010
https://doi.org/10.1093/restud/rdz010