期刊論文

標題 The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model
學年 97
學期 2
出版(發表)日期 2009/06/01
作品名稱 The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model
作品名稱(其他語言)
著者 林志娟; Lin, Jyh-Jiuan; 林志鴻; Lin, Jyh-horng; 周繼儒; Jou, Rosemary
單位 淡江大學統計學系; 淡江大學國際貿易學系; 淡江大學管理科學學系
出版者 Athens: World Scientific and Engineering Academy and Society (WSEAS)
著錄名稱、卷期、頁數 WSEAS Transactions on Information Science and Applications 6(6), pp.946-955
摘要 Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments caused by mood effects induced by good weather. With the good mood influences on bank lending, this paper shows that sunshine is negatively correlated with the default risk in equity returns.
關鍵字 default risk; fat tails; sunny weather; upbeat mood
語言 英文
ISSN 1790-0832
期刊性質 國外
收錄於 EI
產學合作
通訊作者
審稿制度
國別 希臘
公開徵稿
出版型式 紙本