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Based on the typical positions of S&P 500 option market makers, we derive a funding illiquidity measure from quoted prices of S&P 500 derivatives. Our measure significantly affects the returns of leveraged managed portfolios; hedge funds with negative exposure to changes in funding illiquidity...
Persistent link: https://www.econbiz.de/10015070429
We conduct a comprehensive asset pricing analysis for the U.S. property/liability insurance industry using monthly data from 1988 to 2015. We find that state-of-the-art models such as the Fama and French (2015) five-factor model cannot explain the returns of property/liability insurance stocks...
Persistent link: https://www.econbiz.de/10011345060
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In a risk-based portfolio, there is no explicit control for the performance per unit of risk taken. We propose a framework to evaluate the balance between risk and performance at both the portfolio and component level, and to tilt the risk-based portfolio weights towards a state in which the...
Persistent link: https://www.econbiz.de/10012935759
The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....
Persistent link: https://www.econbiz.de/10012872607
We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...
Persistent link: https://www.econbiz.de/10012856755
We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which method would be appropriate for data with a large number of assets. Our simulation results indicate that a restricted version of Cragg and Donald's (1997) Bayesian Information...
Persistent link: https://www.econbiz.de/10012857585
In the Web Appendix to the paper by Ardia et al. (2017), we provide additional results regarding the implementation and the performance when the PRCC is computed with downside-risk measures. We further test the sensitivity to the value of the bound on the tracking error constraint and discuss...
Persistent link: https://www.econbiz.de/10012931430
A measure of the propensity to gamble in casinos constructed without any asset price data provides relevant information for asset pricing. This measure of risk appetite improves the fit of conditional asset pricing models such as the conditional CAPM, explains cross-sectional differences in...
Persistent link: https://www.econbiz.de/10012931926
Persistent link: https://www.econbiz.de/10012693660