This paper defines risk-on risk-off (RORO), an elusive terminology in pervasive use, as the variation in global investor risk aversion. Our high-frequency RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and pronounced fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared with the conventional VIX measure, the RORO index reflects the multifaceted nature of risk, underscoring the diverse provenance of investor risk sentiment. Practical applications of the RORO index highlight its significance for international portfolio reallocation and return predictability.
When large firms are in search of new leadership, oftentimes a former leader is the answer. There have been many high-profile examples of boomerang CEOs being both resounding successes and spectacular failures. So what do the numbers say?
The recent spike in COVID-19 cases nationally, including a large bump in North Carolina, has us worried on a number of fronts—including its potential impact on the budding economic recovery. The $64,000 question has become, “Will we see a double-dip recession?” After the substantial rebound in consumer spending in May and early June, the most recent data suggests a stall in activity over the last month. Combined with an out-of-control worsening of the pandemic in several states, this trend is worrisome. Yet current conditions do not guarantee another plunge in the economy like the one we experienced in April. In this commentary, we look at the situation from our preferred three angles: health statistics, economic data, and individual behavior and welfare assessment.
Founders often face a fundamental tension. On one hand, founders usually desire to retain as much control over their firm as possible. On the other hand, they often lack the competencies required to lead their companies through later stages of growth. But do founders actually listen to these team members? Or do they just continue to listen to their own intuition?
We consider an electric utility company that serves retail electricity customers over a discrete-time horizon. In each period, the company observes the customers' consumption as well as high-dimensional features on customer characteristics and exogenous factors. A distinctive element of our work is that these features exhibit three types of heterogeneity—over time, customers, or both. Based on the consumption and feature observations, the company can dynamically adjust the retail electricity price at the customer level.
We examine the links between human capital and endowment investing. Harnessing detailed information on university endowments, we find that higher asset allocations to alternative assets accompany higher levels of human capital in the endowment’s investment process. Moreover, high levels of human capital are linked to larger returns, even on a risk-adjusted basis.
A risk-averse agent can sell claims to an asset of uncertain value to investors who have private information. When investors can choose how much information to acquire, the agent optimally issues information-sensitive securities in each market (e.g., debt and equity).
We undertake an empirical study of the impact of delay announcements on callers' abandonment behavior and the performance of a call center with two priority classes. A Cox regression analysis reveals that in this call center, callers' abandonment behavior is affected by the announcement messages heard.
On Thursday, March 28, about 250 private equity professionals gathered for the 12th annual Alternative Investments Conference, hosted by the Institute for Private Capital, to discuss portfolio positioning for the late-stage cycle environment.
Kupor discussed his successful career and the rise of Andreessen Horowitz on Monday, Oct. 21 at the Kenan Center in Chapel Hill, as part of the Dean’s Speaker Series hosted by the Kenan Institute of Private Enterprise. The fireside chat with Kupor was led by Greg Brown, executive director of the Kenan Institute.
The health and economic data from this past week brought both good and bad news about the state of affairs in North Carolina. Health data suggest the growth in new cases is slowing, that hospital capacity remains available and that we might be getting a better handle on identification. While this is certainly encouraging in the battle against the pandemic, a similar levelling off in business activity does not bode as well for the economy. In this week’s commentary we seek to unpack some of the details in the data to understand what may be a new plateau.
...Mega-Threats on Individuals at Work Kenan Institute Distinguished Fellow Angelica Leigh, assistant professor of management and organizations at Duke University Fuqua School of Business, explored the effect of societal events,...
Join the Urban-Brookings Tax Policy Center and the UNC Tax Center for their annual convening, this year held virtually, on Tuesday, June 8, 2022.
Please join us for an exclusive conversation with Royal Caribbean Group Executive Vice President and Chief Financial Officer Jason Liberty on Wednesday, April 14. This virtual experience is part of the Dean’s Speaker Series, hosted by UNC Kenan-Flagler Business School Dean Doug Shackelford.