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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
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Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy
Aslanidis, Nektarios; Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012
This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers a large number of macro-?nance predictors well-know from the return predictability literature. Strong...
Persistent link: https://www.econbiz.de/10010851209
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Information and Heterogeneous Beliefs: Cost of Capital, Trading Volume, and Investor Welfare
Christensen, Peter O.; Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, we show that public information can have a substantial impact on the ex ante cost of capital, trading volume, and investor welfare. In a model with exponential utility investors and an asset with a normally distributed dividend,...
Persistent link: https://www.econbiz.de/10010851221
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Risk-Return Trade-Off for European Stock Markets
Aslanidis, Nektarios; Christiansen, Charlotte; Savva, … - School of Economics and Management, University of Aarhus - 2013
This paper adopts dynamic factor models with macro-fi?nance predictors to revisit the intertemporal risk-return relation in ?five large European stock markets. We identify country specifi?c, Euro area, and global factors to determine the conditional moments of returns considering the role of...
Persistent link: https://www.econbiz.de/10010851247
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Heterogeneous Beliefs, Public Information, and Option Markets
Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In an incomplete market setting with heterogeneous prior beliefs, I show that public information and strike price of option have substantial infl?uence on asset pricing in option markets, by investigating an absolute option pricing model with negative exponential utility investors and normally...
Persistent link: https://www.econbiz.de/10010851283
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Does Realized Skewness Predict the Cross-Section of Equity Returns?
Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the realized moments? time-series and cross-sectional properties. We investigate if this week?'s realized moments are informative for the cross-section of next week'?s stock returns. We...
Persistent link: https://www.econbiz.de/10010851291
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Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs
Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012
In a framework of heterogeneous beliefs, I investigate a two-date consumption model with continuous trading over the interval [0; T], in which information on the aggregate consumption at time T is revealed by an Ornstein-Uhlenbeck Bridge. This information structure allows investors to speculate...
Persistent link: https://www.econbiz.de/10010851297
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Collateral requirements and asset prices
Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013
Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...
Persistent link: https://www.econbiz.de/10010957121
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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators
Uhlenbrock, Birgit - Deutsche Bundesbank - 2009
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...
Persistent link: https://www.econbiz.de/10005082768
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … model, both considering the absolute valuation errors and an investment setting where simple investment strategies are made … comparing absolute valuation errors. Both models are able to explain abnormal returns impressively well, when constructing …
Persistent link: https://www.econbiz.de/10009293656