期刊論文
| 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 | en |
| ISSN | 0927-5398 |
| 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 | 是 |
| 國別 | NLD |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/96614 ) |