Similar Search Results

Recent Developments in Financial Risk and the Real Economy

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

This paper reviews recent developments in macro and finance on the relationship between financial risk and the real …-term decline - in the variance risk premium, and time variation in conditional skewness. We also introduce two new data series …

Persistent link: https://www.econbiz.de/10014437009

Forward Return Expectations

Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023

We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...

Persistent link: https://www.econbiz.de/10014372444

Financial Machine Learning

Kelly, Bryan T.; Xiu, Dacheng - National Bureau of Economic Research - 2023

We survey the nascent literature on machine learning in the study of financial markets. We highlight the best examples of what this line of research has to offer and recommend promising directions for future research. This survey is designed for both financial economists interested in grasping...

Persistent link: https://www.econbiz.de/10014322889

Identifying Shocks to Systematic Risk in Times of Crisis

Boudoukh, Jacob; Liu, Yukun; Moskowitz, Tobias J.; … - National Bureau of Economic Research - 2024

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal … different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …, we provide novel identification of risk dynamics by linking these changes to news about the virus and epidemiological …

Persistent link: https://www.econbiz.de/10014635656

War Discourse and Disaster Premia : 160 Years of Evidence from Stock and Bond Markets

Hirshleifer, David; Mai, Dat; Pukthuanthong, Kuntara - National Bureau of Economic Research - 2023

valuation of disaster risk. Focusing on media discourse addresses the challenge of sample size even when major disasters are …

Persistent link: https://www.econbiz.de/10014287305

Analyst Bias and Mispricing

Grinblatt, Mark; Jostova, Gergana; Philipov, Alexander - National Bureau of Economic Research - 2023

Cross-sectional forecasts of conservative and optimistic biases in analyst earnings estimates predict a stock's future returns, especially for firms that are hard to value. Trading strategies--whether based on the component of analyst bias that is correlated with major return anomalies or the...

Persistent link: https://www.econbiz.de/10014248012

Equity Term Structures without Dividend Strips Data

Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023

We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...

Persistent link: https://www.econbiz.de/10014250137

Segmented Arbitrage

Siriwardane, Emil N.; Sunderam, Adi; Wallen, Jonathan L. - National Bureau of Economic Research - 2022

We use arbitrage activity in equity, fixed income, and foreign exchange markets to characterize the frictions and constraints facing intermediaries. The average pairwise correlation between the 29 arbitrage spreads that we study is 21%. These low correlations are inconsistent with canonical...

Persistent link: https://www.econbiz.de/10013435123

Gold's Value as an Investment

Jermann, Urban J. - National Bureau of Economic Research - 2023

For investors, gold is an asset without a yield that is attractive in times of low and negative real interest rates. Gold also has an embedded put option because investors can sell it to those who value its use as jewelry or as a productive input. This paper presents an approach for pricing gold...

Persistent link: https://www.econbiz.de/10014322774

Risk Preferences Implied by Synthetic Options

Dew-Becker, Ian; Giglio, Stefano - National Bureau of Economic Research - 2023

demanding a premium for hedging risk. This paper examines the consistency of those explanations with returns on dynamically … on synthetic options -- with the variance risk premium shrinking towards zero -- while various drivers of the cost and … risk of hedging options exposures have declined, consistent with a model in which intermediaries drive option prices …

Persistent link: https://www.econbiz.de/10014436964

1
2
3
4
5
6
7
8
9
10
Next
Last