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Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options

Dueker, Michael; Thomas W. Miller, Jr. - Federal Reserve Bank of St. Louis - 1996

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor?s 500 Index from April 2, 1986 through June 20, 1986. We match near-the-money American option quotes with the most nearly contemporaneous, otherwise identical, European...

Persistent link: https://www.econbiz.de/10005360571

Directly measuring early exercise premiums using American and European S&P 500 index options

Dueker, Michael; Thomas W. Miller, Jr. - Federal Reserve Bank of St. Louis - 2002

The Chicago Board Options Exchange concurrently listed European-style and American-style options on the Standard and Poor's 500 Index from April 2, 1986 through June 20, 1986. This unique time period allows for a direct measurement of the early-exercise premium in American-style index options....

Persistent link: https://www.econbiz.de/10005707675

Equity market volatility and expected risk premium

Chen, Long; Guo, Hui; Zhang, Lu - Federal Reserve Bank of St. Louis - 2006

This paper revisits the time-series relation between the conditional risk premium and variance of the equity market portfolio. The main innovation is that we construct a measure of the ex ante equity market risk premium using corporate bond yield spread data. This measure is forward-looking and...

Persistent link: https://www.econbiz.de/10005352922

Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model

Guo, Hui; Neely, Christopher J. - Federal Reserve Bank of St. Louis - 2006

We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data. In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically...

Persistent link: https://www.econbiz.de/10005707763

Forecasts of US short-term interest rates : a flexible forecast combination approach

Guidolin, Massimo (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003344544

Testing asset pricing models with Euler equations: it's worse than you think

Neely, Christopher J. - Federal Reserve Bank of St. Louis - 1995

This paper reexamines the small sample properties of Hansen's (1982) Generalized Method of Moments (GMM) and Hansen and Jagannathan's (1989) estimation-free tests on simulated data from a more plausible consumption based asset pricing model. Previous studies are incomplete and misleading. A...

Persistent link: https://www.econbiz.de/10005360557

The cyclical relationship between output and prices: an analysis in the frequency domain

Pakko, Michael R. - Federal Reserve Bank of St. Louis - 1997

Recent research showing negative correlations between detrended output and prices during the postwar period has brought … into question the conventional wisdom that prices are procyclical. However, this finding has been shown to be sensitive to … the sample period considered. This paper examines the relationship between output and prices in the frequency domain …

Persistent link: https://www.econbiz.de/10005360577

Modelling the MIB30 implied volatility surface. Does market efficiency matter?

Cassesse, Gianluca; Guidolin, Massimo - Federal Reserve Bank of St. Louis - 2005

prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …

Persistent link: https://www.econbiz.de/10005360595

Aggregate price shocks and financial instability: a historical analysis

Bordo, Michael D.; Dueker, Michael J.; Wheelock, David C. - Federal Reserve Bank of St. Louis - 2001

This paper presents empirical evidence on the hypothesis that aggregate price disturbances cause or worsen financial distress. We construct two annual indexes of financial conditions for the United States covering 1790-1997, and estimate the effect of aggregate price shocks on each index using a...

Persistent link: https://www.econbiz.de/10005360618

Population growth and asset prices

Yoo, Peter S. - Federal Reserve Bank of St. Louis - 1997

This paper explores the theoretical relationship between the population growth rate and asset prices implied by an … overlapping-generations model. The model shows that changes in a population's age distribution affect asset prices but such … changes generate low frequency movements in asset prices. The model also shows that the treatment of expectations matter; a …

Persistent link: https://www.econbiz.de/10005360624