| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26290 |
| 来源ID | Working Paper 26290 |
| Financial Market Risk Perceptions and the Macroeconomy | |
| Carolin Pflueger; Emil Siriwardane; Adi Sunderam | |
| 发表日期 | 2019-09-23 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We propose a novel measure of risk perceptions: the price of volatile stocks (PVSₜ), defined as the book-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSₜ is high when perceived risk directly measured from surveys and option prices is low. When perceived risk is high according to our measure, safe asset prices are high, risky asset prices are low, the cost of capital for risky firms is high, and real investment is forecast to decline. Perceived risk as measured by PVSₜ falls after positive macroeconomic news. These declines are predictably followed by upward revisions in investor risk perceptions. Our results suggest that risk perceptions embedded in stock prices are an important driver of the business cycle and are not fully rational. |
| 主题 | Macroeconomics ; Consumption and Investment ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w26290 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/583963 |
| 推荐引用方式 GB/T 7714 | Carolin Pflueger,Emil Siriwardane,Adi Sunderam. Financial Market Risk Perceptions and the Macroeconomy. 2019. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26290.pdf（505KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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