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 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
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