CRSP

Öffnen

Metadata

Zusammenfassung

Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the commercial market depend on CRSP’s historical depth and unrivaled quality in order to perform backtesting and modeling calculations. In the government sector, regulators and policy makers value CRSP’s complete data sets as the basis for financial and economic research.

Forschungsbereich

Financial Markets
Transparency Lab
Systemic Risk Lab
Financial Institutions
Household Finance
Financial Intermediation

Schlagworte

extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization, firm valuation, real options, volatility, r&d expenses, pca, systemic risk, value-at-risk, equity options, implied volatility, return predictability, scenarios, welfare, performance, housing, consumption-portfolio choice, money in the utility function, stock demand, stochastic control, asset pricing, epstein-zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile, general equilibrium, sin stocks, interconnectedness, asset liquidation, similarity, financial stability, insurance companies, sifi, idiosyncratic volatility puzzle, networks, expected returns, granger causality, cross-section of returns, financial frictions, collateral constraint, preference for early resolution of uncertainty, cross-sectionof expected stock returns, banks, financial crisis, disclosure, loan loss accounting, expected credit losses, incurred loss model, prudential filter, fair valueaccounting, cross-section of stock returns, factor timing, time series momentum, anomalies, term structure of interest rates, fiscal theory of the price level, bond risk premia, government debt, dsge models, nonlinear solution methods, corporate social responsibility, esg rating agencies, sustainable investments, socially responsible investing, esg, portfolio choice

JEL-Klassifizierung

G11, G12, G13, G17, G01, G28, G32, D91, D14, C61, D51, E20, G18, G2, G10, E2, E3, E44, D81, G21, G22, G38, K22, M41, M42, M48, G23, G59, M14, Q5

Working Paper Referenzen