Showing 1 - 10 of 92
We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The … difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the downside … variance risk premium is the main component of the variance risk premium, and that the skewness risk premium is a priced factor …
Persistent link: https://www.econbiz.de/10011261280
random magnitudes. Jump risk premia are allowed for. We show that the model implies a closed-form representation of yields as … on other days). The model also produces patterns in bond risk premia that are consistent with the empirical finding that …
Persistent link: https://www.econbiz.de/10011095294
Dealers in over-the-counter securities form networks to mitigate search frictions. The audit trail for municipal bonds shows the dealer network has a core-periphery structure. Central dealers are more efficient at matching buyers and sellers than peripheral dealers, which shortens intermediation...
Persistent link: https://www.econbiz.de/10011095300
To attract retail time deposits, over 7,000 FDIC insured U.S. commercial banks publicly post their yield offers. I document an economically sizable and highly pro-cyclical cross-sectional dispersion in these yield offers during the period 1997 - 2011. Banks adjusted their yields rigidly and...
Persistent link: https://www.econbiz.de/10011115663
We quantify the effect of refinancing risk on euro area money market spreads, a major factor driving spreads during the … borrow over a given horizon, thus increasing refinancing risk. We measure refinancing risk by quantifying the sensitivity of … frequency. Results suggest that refinancing risk affects the spread significantly across time, albeit in a largely varying …
Persistent link: https://www.econbiz.de/10011119859
In this paper, we examine how learning about disaster risk affects asset pricing in an endowment economy. We extend the … generates time variation in the risk premium through Bayesian updating of agents' beliefs regarding the likelihood and severity …
Persistent link: https://www.econbiz.de/10010728883
In the special collateral repo market, forward agreements are security-specific, which may magnify demand and supply effects. We quantify the scarcity value of Treasury collateral by estimating the impact of security-specific demand and supply factors on the repo rates of all outstanding U.S....
Persistent link: https://www.econbiz.de/10010892306
question. Using Kalman Filter techniques, we estimate the risk exposure dynamics of a large sample of live and dead equity long … is found that more active funds outperform the less active ones. However, when risk adjusted returns are used to measure … use their skills to manage the riskiness of their portfolios and are, therefore, able to provide higher risk adjusted …
Persistent link: https://www.econbiz.de/10010892321
controlling for standard risk factors. Liquidity deteriorates on FTS days both in the bond and equity markets. Both economic …
Persistent link: https://www.econbiz.de/10010787051
volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …
Persistent link: https://www.econbiz.de/10010886219