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Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics
Jin, Jianjian - Bank of Canada - 2013
explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of risk-neutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …
Persistent link: https://www.econbiz.de/10010640746
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Price Discovery in Canadian and U.S. 10-Year Government Bond Markets
Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information...
Persistent link: https://www.econbiz.de/10005808284
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The Monetary Origins of Asymmetric Information in International Equity Markets
Bauer, Gregory H.; Vega, Clara - Bank of Canada - 2004
Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Those studies, however, do not account for the presence of asymmetric information, where sophisticated investors generate private information about the...
Persistent link: https://www.econbiz.de/10005808373
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International Equity Flows and Returns: A Quantitative Equilibrium Approach
Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - Bank of Canada - 2004
The authors model trading by foreign and domestic investors in developed-country equity markets. The key assumptions are that (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor sophistication matters for performance in both...
Persistent link: https://www.econbiz.de/10005162420
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Information Shocks, Jumps, and Price Discovery -- Evidence from the U.S. Treasury Market
Jiang, George J.; Lo, Ingrid; Verdelhan, Adrien - Bank of Canada - 2008
We examine large price changes, known as jumps, in the U.S. Treasury market. Using recently developed statistical tools, we identify price jumps in the 2-, 3-, 5-, 10-year notes and 30-year bond during the period of 2005-2006. Our results show that jumps mostly occur during prescheduled...
Persistent link: https://www.econbiz.de/10005536874
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Idiosyncratic Coskewness and Equity Return Anomalies
Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2010
idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …
Persistent link: https://www.econbiz.de/10008577437
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Private Information Flow and Price Discovery in the U.S. Treasury Market
Jiang, George J.; Lo, Ingrid - Bank of Canada - 2011
Existing studies show that U.S. Treasury bond price changes are mainly driven by public information shocks, as manifested in macroeconomic news announcements and events. The literature also shows that heterogeneous private information contributes significantly to price discovery for U.S....
Persistent link: https://www.econbiz.de/10008838745
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High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market
Jiang, George J.; Lo, Ingrid; Valente, Giorgio - Bank of Canada - 2014
This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i-Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and...
Persistent link: https://www.econbiz.de/10011097369
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It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
Ehrmann, Michael; Jansen, David-Jan - Bank of Canada - 2014
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as...
Persistent link: https://www.econbiz.de/10010762049
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Price Discovery in Canadian Government Bond Futures and Spot Markets
Chung, Christopher; Campbell, Bryan; Hendry, Scott - Bank of Canada - 2007
In this paper we look at the relative information content of cash and futures prices for Canadian Government bonds. We follow the information-share approaches introduced by Hasbrouck (1995) and Harris et al (1995), applying the techniques in Gonzalo-Granger (1995), to evaluate the relative...
Persistent link: https://www.econbiz.de/10005673292