教師資料查詢 | 類別: 期刊論文 | 教師: 繆震宇 MIAO, CHEN-YU (瀏覽個人網頁)

標題:Does mortality improvement increase equity risk premiums? A risk perception perspective
學年101
學期2
出版(發表)日期2013/06/01
作品名稱Does mortality improvement increase equity risk premiums? A risk perception perspective
作品名稱(其他語言)
著者Huang, Rachel J.; Miao, Jerry C.Y.; Tzeng, Larry Y.
單位淡江大學保險學系
出版者Amsterdam: Elsevier BV * North-Holland
著錄名稱、卷期、頁數Journal of Empirical Finance 22, pp.67-77
摘要Using data for G7 countries over the period from 1950 to 2007, this paper finds that an unexpected shock to the mortality rate is significantly negatively correlated with the equity premium. A one basis point unexpected negative shock to the mortality rate increases both the one-year and five-year equity premiums by 0.54% and 1.66%, respectively. We also demonstrate how financial institutions could use our findings to hedge the risk of mortality-linked securities.
關鍵字Mortality risk; Equity risk premium; Demography; Risk perception
語言英文
ISSN0927-5398
期刊性質國外
收錄於SSCI;
產學合作
通訊作者Huang, Rachel J.
審稿制度
國別荷蘭
公開徵稿
出版型式,紙本
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