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Testing Asymmetric-Information Asset Pricing Models
Kelly, Bryan; Ljungqvist, Alexander P. - C.E.P.R. Discussion Papers - 2009
Theoretical asset pricing models routinely assume that investors have heterogeneous information. We provide direct evidence of the importance of information asymmetry for asset prices and investor demands using plausibly exogenous variation in the supply of information caused by the closure or...
Persistent link: https://www.econbiz.de/10005792510
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Identification and Inference Using Event Studies
Gürkaynak, Refet S.; Wright, Jonathan - C.E.P.R. Discussion Papers - 2013
that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs …
Persistent link: https://www.econbiz.de/10011084634
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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
Our objective in this paper is to examine whether one can use option-implied information to improve mean-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful for improving the out-of-sample performance of...
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
Three mutually uncorrelated economic disturbances that we measure empirically explain 85% of the quarterly variation in real stock market wealth since 1952. A model is employed to interpret these disturbances in terms of three latent primitive shocks. In the short run, shocks that affect the...
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
Studies of bond return predictability find a puzzling disparity between strong statistical evidence of return … accounting for important features of bond return models such as time varying parameters and volatility dynamics. A three …. Finally, we find that bond excess returns are predicted to be significantly higher during periods with high inflation …
Persistent link: https://www.econbiz.de/10011083511
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The Microstructure of the Euro Money Market
Hartmann, Philipp; Manna, Michele; Manzanares, Andres - C.E.P.R. Discussion Papers - 2001
This Paper provides the first empirical examination of the microstructure of the euro money market, using tick data from brokers located in six countries. Special emphasis is put on the institutional environment (monetary policy decisions and their implementation, payment systems and private...
Persistent link: https://www.econbiz.de/10005123983
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Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election
Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...
Persistent link: https://www.econbiz.de/10005124441
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What was the Market's View of UK Monetary Policy? Estimating Inflation Risk and Expected Inflation with Indexed Bonds
Jacobs, Mike; Remolona, Eli; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1998
A measure of the credibility of monetary policy is the inflation risk premium embodied in nominal yields. This will be time varying and can be estimated by combining the information contained in the nominal term structure of interest rates with that in the real term structure of...
Persistent link: https://www.econbiz.de/10005666871
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Banking and Sovereign Risk in the Euro Area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - C.E.P.R. Discussion Papers - 2010
We study the determinants of euro area sovereign bond spreads since the introduction of the euro. An aggregate risk …
Persistent link: https://www.econbiz.de/10008468513