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Transition versus physical climate risk pricing in European financial markets : a text-based approach

Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022

the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …

Persistent link: https://www.econbiz.de/10013271146

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

On the nature of jump risk premia

Orlowski, Piotr; Schneider, Paul; Trojani, Fabio - 2019

We propose a model-free method for measuring the jump skewness risk premium via a tradingstrategy. We find that in the S&P 500 option market, the premium is positive and greater inabsolute terms than the variance premium. The trading strategy allows for examining the premiumin different holding...

Persistent link: https://www.econbiz.de/10012051990

Inflation risk premia, yield volatility and macro factors

Berardi, Andrea; Plazzi, Alberto - 2018

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999-2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds and survey...

Persistent link: https://www.econbiz.de/10011877284

Dissecting the yield curve : the international evidence

Berardi, Andrea; Plazzi, Alberto - 2019

while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

Persistent link: https://www.econbiz.de/10012179422

The pricing of subprime mortgage risk in good times and bad : evidence from the ABX.HE indices

Fender, Ingo; Scheicher, Martin - 2009

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...

Persistent link: https://www.econbiz.de/10003866554

Credit Default Swap Spreads and Variance Risk Premia

Zhou, Hao - 2011

We find that firm-level variance risk premium, estimated as the difference between option-implied and expected variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables identified in the existing literature. Such a...

Persistent link: https://www.econbiz.de/10013118597

Treasury Safety, Liquidity, and Money Premium Dynamics : Evidence from Recent Debt Limit Impasses

Cashin, David B. - 2020

liquidity dynamics are generally consistent with the theory of the information sensitivity of debt … the money premium, safety, and liquidity. Our results shed light on Treasury market dynamics specifically, and debt more …

Persistent link: https://www.econbiz.de/10012834175

Information in yield spread trades

Park, Yang-Ho - 2019

Using positions data on bond futures, I document that speculators' spread trades contain private information about … information about future payrolls. Steepening trades can also predict the rise of stock prices within a few hours before … highlights spread traders' superior information and its important role in explaining announcement returns and pre …

Persistent link: https://www.econbiz.de/10012018461

Unlocking ESG premium from options

Cao, Jie; Goyal, Amit; Zhan, Xintong; Zhang, Weiming Elaine - 2021

We find that option expensiveness, as measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the option market to hedge ESG-related uncertainty. We estimate this ESG premium to be about 0.3% per month. All three components of ESG...

Persistent link: https://www.econbiz.de/10012593635