出版日期：2009-06-01 00:00:00

著者：林志娟; Lin, Jyh-Jiuan; 林志鴻; Lin, Jyh-horng; 周繼儒; Jou, Rosemary

單位：淡江大學統計學系; 淡江大學國際貿易學系; 淡江大學管理科學學系

出版者：Athens: World Scientific and Engineering Academy and Society (WSEAS)

著錄名稱、卷期、頁數：WSEAS Transactions on Information Science and Applications 6(6), pp.946-955

摘要：Even though psychological evidence and casual intuition predict that weather may lead to changes in equity returns, little attention has been paid to these changes through asset pricing mechanisms. This paper fills this gap by examining the effects of sunny weather enhanced upbeat mood on bank spread management and default risk. An option-based model of bank spread behavior is developed to study these closely related phenomena. The model is designed to indicate the fat tails of loan repayments caused by mood effects induced by good weather. With the good mood influences on bank lending, this paper shows that sunshine is negatively correlated with the default risk in equity returns.

關鍵字：default risk; fat tails; sunny weather; upbeat mood

語言：en

ISSN：1790-0832

期刊性質：國外

收錄於：EI

國別：GRC

出版型式：紙本