We show that exposure from past business transactions – risk overhang – can reduce activity in related business lines, sometimes to the point where no new trade occurs. We focus primarily on the role of overhang in nonlife insurance market disruptions. Our model predicts that the relative impact, duration, and character of supply disruptions are related to the extent of overhang. These predicti...

This paper provides a method for estimating the market risk premium that accounts for shifts in investment opportunities by explicitly modeling the underlying process governing the level of market volatility. I find that approximately 50% of the measured risk premium is related to the risk of future changes in investment opportunities. Evidence of a structural shift in the underlying volatility...

A method for computing forward-looking market risk premium is developed in this paper. We first derive a theoretical expression that links forward-looking risk premium to investors’ risk aversion and forward-looking volatility, skewness and kurtosis of cumulative return. In addition, investors’ risk aversion is theoretically linked to volatility spread, defined as the gap between the risk-neutr...

Risks faced by traders from price movements are sometimes magni¿ed by the actions of other traders. Risk management systems which neglect this feature may give a seriously misleading picture of the true risks. The hazards arising from this potential blindspot are at their most dangerous when the prevailing conventional wisdom lulls traders into a false sense of security on the attractivenss of ...

Traditionally, integration has been studied at the country level. With increasing economic integration, industrial reorganization, and blurring of national boundaries (e.g., EU), it is important to investigate global integration at the industry level. We argue that country-level integration (segmentation) does not preclude industry-level segmentation (integration). Indeed, our results suggest t...

the purpose of this study was to conduct a quantitative risk assessment for pah exposure forconsumers at a night market in taiwan. the major methods assessed potential risk under different exposure scenarios based on bap equivalent concentration (bapeq) and incremental lifetime cancer risk (ilcr) models. we performed experimental sampling at a night market from 27 october through 22 november 20...

A thin market is a market with few buying or selling offers. The concept of market thinness, while general, is typically used in the context of financial markets. When the number of buying or selling offers is small, investors' trading positions are large relative to market size. Trading then requires price concessions and thus exerts an impact on prices. A thin market is characterized by low t...

This paper studies the inventive performance and profitability of small and medium sized firms (SMEs) that are “technology specialists” compared to the inventive performance and profitability of SMEs that are instead vertically-integrated. In this paper perspective, “technology specialists” are firms that specialize upstream in generating inventions and trade those inventions in disembodied for...