淡江大學機構典藏:Item 987654321/50696
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    題名: The Effects of Sunshine-Induced Mood on Bank lending Decisions and Default Risk: An Option-Pricing Model
    作者: 林志娟;Lin, Jyh-Jiuan;林志鴻;Lin, Jyh-horng;周繼儒;Jou, Rosemary
    貢獻者: 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
    關鍵詞: default risk;fat tails;sunny weather;upbeat mood
    日期: 2009-06
    上傳時間: 2010-08-10 15:14:27 (UTC+8)
    出版者: Athens: World Scientific and Engineering Academy and Society (WSEAS)
    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.
    關聯: WSEAS Transactions on Information Science and Applications 6(6), pp.946-955
    顯示於類別:[國際企業學系暨研究所] 期刊論文

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