Similar Search Results

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

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

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

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

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

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

Financial intermediation, asset prices, and macroeconomic dynamics

Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2010

Persistent link: https://www.econbiz.de/10003948219

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

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

Risk Appetite and Exchange Rates

Adrian, Tobias; Etula, Erkko M.; Shin, Hyun Song - 2018

We present evidence that the funding liquidity aggregates of U.S. financial intermediaries forecast U.S. dollar exchange rate growth—at weekly, monthly, and quarterly horizons, both in-sample and out-of-sample, and against a large set of foreign currencies. We provide a theoretical foundation...

Persistent link: https://www.econbiz.de/10014210672