關鍵字查詢 | 類別:期刊論文 | | 關鍵字:Does mortality improvement increase equity risk premiums? A risk perception perspective

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1 101/2 保險系 繆震宇 教授 期刊論文 發佈 Does mortality improvement increase equity risk premiums? A risk perception perspective , [101-2] :Does mortality improvement increase equity risk premiums? A risk perception perspective期刊論文Does mortality improvement increase equity risk premiums? A risk perception perspectiveHuang, Rachel J.; Miao, Jerry C.Y.; Tzeng, Larry Y.淡江大學保險學系Mortality risk; Equity risk premium; Demography; Risk perceptionAmsterdam: Elsevier BV * North-HollandJournal of Empirical Finance 22, pp.67-77Using 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.tku_id: ; 000119278;Submitted by 震宇 繆 (cymiao@mail.tku.edu.tw) on 2014-03-11T20:47:56Z No. of bitstreams: 0;Made available in DSpace on 201
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