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Macroeconomic and geopolitical impact on asset returns and risk premia : three essays on asset pricing / by Matthias Apel. Oberursel, March 12, 2023
Inhalt
List of Tables
List of Figures
1. Introduction
1.1. Macroeconomic risk factors
1.2. Climate-related risk factors
1.3. Geopolitical risk factors
2. Business Cycle-related Timing of Alternative Risk Premia Strategies
2.1. Introduction
2.2. Methodology
2.3. Data
2.3.1. Business Cycle
2.3.2. Alternative Risk Premia
2.3.3. Global Multi Asset Classes
2.3.4. Equity Style Factors
2.4. Empirical Results
2.4.1. Macroeconomic Sensitivities
2.4.2. Portfolio Construction
2.5. Cross Validation
2.5.1. Global Multi Asset Classes
2.5.2. Equity Style Factors
2.6. Conclusion
3. Real-Time Transition Risk
3.1. Introduction
3.2. Transition risk framework
3.3. Climate-related news and point-in-time language model
3.3.1. Domain-specific vocabulary
3.3.2. Topic identification
3.4. Sentiment classification
3.4.1. Data augmentation
3.4.2. Entity masking
3.4.3. Model performance
3.4.4. Sentiment score
3.5. News Index Validation
3.5.1. Index calculation
3.5.2. Comparison of existing news-based climate risk indices
3.5.3. Data
3.5.4. Methodology
3.5.5. Results
3.6. Conclusion
4. Point-in-Time Language Model for Geopolitical Risk Events
4.1. Introduction
4.2. Index construction
4.2.1. Point-in-time language model
4.2.2. Computation
4.2.3. Index calculation
4.3. Decomposition of Geopolitical Risk
4.4. Conclusion
5. Concluding remarks
Bibliography
Appendices
Appendix to Chapter 2
Appendix to Chapter 3
Appendix to Chapter 4