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Testing Asymmetric-Information Asset Pricing Models
Kelly, Bryan; Ljungqvist, Alexander P. - C.E.P.R. Discussion Papers - 2009
more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset …
Persistent link: https://www.econbiz.de/10005792510
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Demand-Based Option Pricing
Garleanu, Nicolae Bogdan; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2005
We model the demand-pressure effect on prices when options cannot be perfectly hedged. The model shows that demand pressure in one option contract increases its price by an amount proportional to the variance of the unhedgeable part of the option. Similarly, the demand pressure increases the...
Persistent link: https://www.econbiz.de/10005067592
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Investors' horizons and the Amplification of Market Shocks
Cella, Cristina; Ellul, Andrew; Giannetti, Mariassunta - C.E.P.R. Discussion Papers - 2010
After negative shocks, investors with short trading horizons are inclined or forced to sell their holdings to a larger extent than investors with longer trading horizons. This may amplify the effects of market-wide shocks on stock prices. We test the relevance of this mechanism by exploiting the...
Persistent link: https://www.econbiz.de/10008683532
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Are Retail Traders Compensated for Providing Liquidity?
Barrot, Jean-Noël; Kaniel, Ron; Sraer, David - C.E.P.R. Discussion Papers - 2014
This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they are compensated for doing so.We show that the ability of aggregate retail order imbalances, contrarian in nature, to predict short-term future returns is significantly enhanced...
Persistent link: https://www.econbiz.de/10011096103
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The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself
Jordà, Òscar; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2009
The carry trade is the investment strategy of going long in high-yield target currencies and short in low-yield funding currencies. Recently, this naive trade has seen very high returns for long periods, followed by large crash losses after large depreciations of the target currencies. Based on...
Persistent link: https://www.econbiz.de/10008491718
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
DeMiguel, Victor; Plyakha, Yuliya; Uppal, Raman; … - C.E.P.R. Discussion Papers - 2010
contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …
Persistent link: https://www.econbiz.de/10008530360
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Origins of Stock Market Fluctuations
Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2015
shocks. In the short run, shocks that affect the willingness to bear risk independently of macroeconomic fundamentals explain …
Persistent link: https://www.econbiz.de/10011145420
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Bond Return Predictability: Economic Value and Links to the Macroeconomy
Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2014
expectations hypothesis. Importantly, we find that such gains in predictive accuracy translate into higher risk-adjusted portfolio …
Persistent link: https://www.econbiz.de/10011083511
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A DSGE model of banks and financial intermediation with default risk
Wickens, Michael R. - C.E.P.R. Discussion Papers - 2011
assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …
Persistent link: https://www.econbiz.de/10009293986
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Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect
Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...
Persistent link: https://www.econbiz.de/10011252613