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Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
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The term structure of inflation expectations
Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009
We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...
Persistent link: https://www.econbiz.de/10003812556
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Leverage asset pricing
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10009787499
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Financial intermediation, asset prices, and macroeconomic dynamics
Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2010
Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...
Persistent link: https://www.econbiz.de/10003948219
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Leverage Asset Pricing
Adrian, Tobias - 2013
We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses de-trended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...
Persistent link: https://www.econbiz.de/10013076596
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Financial Intermediation, Asset Prices and Macroeconomic Dynamics
Adrian, Tobias - 2010
Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...
Persistent link: https://www.econbiz.de/10013149404
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Regression-Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias - 2014
We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10013068063
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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...
Persistent link: https://www.econbiz.de/10012974407
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The No-arbitrage Pricing of Non-traded Assets
Jarrow, Robert A. - 2023
This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise friction-less market …
Persistent link: https://www.econbiz.de/10014355494
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Exploring Mispricing in the Term Structure of CDS Spreads
Jarrow, Robert A. - 2019
Based on a reduced-form model of credit risk, we explore mispricing in the CDS spreads of North American companies and its economic content. Specifically, we develop a trading strategy using the model to trade out of sample market-neutral portfolios across the term structure of CDS contracts....
Persistent link: https://www.econbiz.de/10012903851