| dc.contributor | 風險與保險研究中心 | |
| dc.creator (作者) | Huang, Rachel J.;Miao, J.C.Y.;Tzeng, L.Y. | |
| dc.creator (作者) | 黃瑞卿;曾郁仁 | zh_TW |
| dc.date (日期) | 2013-06 | |
| dc.date.accessioned | 21-May-2015 16:56:52 (UTC+8) | - |
| dc.date.available | 21-May-2015 16:56:52 (UTC+8) | - |
| dc.date.issued (上傳時間) | 21-May-2015 16:56:52 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/75257 | - |
| dc.description.abstract (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. © 2013 Elsevier B.V. | |
| dc.format.extent | 390678 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | Journal of Empirical Finance, 22, 67-77 | |
| dc.subject (關鍵詞) | Demography; Equity risk premium; Mortality risk; Risk perception | |
| dc.title (題名) | Does mortality improvement increase equity risk premiums? A risk perception perspective | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.jempfin.2013.03.002 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.jempfin.2013.03.002 | |
