Macroeconomic and geopolitical impact on asset returns and risk premia : three essays on asset pricing / by Matthias Apel. Wuppertal, March 12, 2023
Inhalt
- List of Tables
- List of Figures
- 1. Introduction
- 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
- 2.5. Cross Validation
- 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
- 3.4. Sentiment classification
- 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
- 5. Concluding remarks
- Bibliography
- Appendices