An analysis of illiquidity in commodity markets
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Futures Markets"
DOI: 10.1002/fut.22007
Abstract: We examine the liquidity premium demanded by hedgers and the insurance premium demanded by speculators. Our results indicate that both hedgers and speculators demand a higher premium in illiquid commodities, to provide insurance and liquidity,… read more here.
Keywords: premium; markets analysis; insurance premium; illiquid commodities ... See more keywords
CAPM-anomalies: quantitative puzzles
Sign Up to like & getrecommendations! Published in 2018 at "Economic Theory"
DOI: 10.1007/s00199-018-1137-5
Abstract: The stochastic discount factor is a crucial determinant of the equity premium as well as the cross-sectional distribution of stock returns. This gives rise to the idea that there is a tight link between the… read more here.
Keywords: cross sectional; asset pricing; quantitative puzzles; equity premium ... See more keywords
Factors affecting homebuyers' willingness to pay green building price premium: Evidence from a nationwide survey in Israel
Sign Up to like & getrecommendations! Published in 2018 at "Building and Environment"
DOI: 10.1016/j.buildenv.2018.04.014
Abstract: Abstract Green buildings (GBs) bring multiple benefits to homebuyers. However, the lack of knowledge or uncertainty about these benefits, combined with a nominal price premium (PP) for GBs, may prevent prospective homebuyers from entering the… read more here.
Keywords: pay; price premium; survey; building ... See more keywords
The evolving nature of the college wage premium
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DOI: 10.1016/j.econmod.2020.09.001
Abstract: Focusing on the signaling aspect of education, we show that the college wage premium can be U-shaped in the share of the population with a college degree. This prediction is consistent with empirical evidence from… read more here.
Keywords: premium; evolving nature; college; wage premium ... See more keywords
How a combination of two contradicting concepts is represented: The representation of premium instant noodles and premium yogurts by different age groups.
Sign Up to like & getrecommendations! Published in 2019 at "Food research international"
DOI: 10.1016/j.foodres.2019.108506
Abstract: This study was conducted to investigate the representation of the association between two contradicting concepts: premium and low-priced foods (instant noodles and yogurt) by different age group. Subjects undertook free word association tasks relating to… read more here.
Keywords: premium; representation; premium instant; age ... See more keywords
Term structure of interest rates: Modelling the risk premium using a two horizons framework
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Economic Behavior and Organization"
DOI: 10.1016/j.jebo.2019.09.006
Abstract: This paper proposes a hybrid two-horizon risk premium model with one- and two-period maturity debts, among which the risky asset and the riskless one depend on agents’ investment horizon. A representative investor compares at each… read more here.
Keywords: premium; risk premium; market; term structure ... See more keywords
The short duration premium
Sign Up to like & getrecommendations! Published in 2021 at "Journal of Financial Economics"
DOI: 10.1016/j.jfineco.2021.04.019
Abstract: Abstract Stocks of firms with cash flows concentrated in the short term (i.e., short duration stocks) pay a large premium over long duration stocks. I empirically demonstrate that this premium (i) is long-lived and strong… read more here.
Keywords: premium; duration premium; short duration; duration ... See more keywords
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2016.09.053
Abstract: Abstract This paper considers a robust optimal investment and reinsurance problem under model ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a defaultable bond and aims… read more here.
Keywords: insurer; default; robust optimal; optimal investment ... See more keywords
Inflation-default trade-off without a nominal anchor: The case of Greece
Sign Up to like & getrecommendations! Published in 2020 at "Review of Economic Dynamics"
DOI: 10.1016/j.red.2020.05.002
Abstract: Abstract We investigate the debt sustainability implications of leaving a currency union in the context of the Grexit phenomenon. Using a common currency debt specification that is calibrated to the 2001-2010 episode of the Greek… read more here.
Keywords: debt; drachma debt; premium; inflation ... See more keywords
The Housing Market and the Credit Default Swap premium in the UK Banking Sector: A VAR Approach
Sign Up to like & getrecommendations! Published in 2017 at "Research in International Business and Finance"
DOI: 10.1016/j.ribaf.2017.01.009
Abstract: In the wake of the recent global financial crisis, this paper investigates the determinants of the Credit Default Swap premium in the UK banking sector for the period January 2004–April 2011. Employing a VAR model,… read more here.
Keywords: credit default; cds premium; house; premium ... See more keywords
Premium control with reinforcement learning
Sign Up to like & getrecommendations! Published in 2023 at "ASTIN Bulletin"
DOI: 10.1017/asb.2023.13
Abstract: Abstract We consider a premium control problem in discrete time, formulated in terms of a Markov decision process. In a simplified setting, the optimal premium rule can be derived with dynamic programming methods. However, these… read more here.
Keywords: premium rule; premium; reinforcement learning; premium control ... See more keywords