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Testing Portfolio Efficiency with Conditioning Information
Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006
We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...
Persistent link: https://www.econbiz.de/10005034911
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic … the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for …
Persistent link: https://www.econbiz.de/10011271459
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Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …
Persistent link: https://www.econbiz.de/10005774581
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Stock Return Predictability: Is it There?
Ang, Andrew; Bekaert, Geert - National Bureau of Economic Research (NBER) - 2001
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as...
Persistent link: https://www.econbiz.de/10005575706
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Testing Conditional Factor Models
Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011
Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...
Persistent link: https://www.econbiz.de/10009359903
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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10008597185
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Downside Risk
Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005
Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...
Persistent link: https://www.econbiz.de/10005718657
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Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology
Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009
Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...
Persistent link: https://www.econbiz.de/10005025630
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Econometric Measures of Systemic Risk in the Finance and Insurance Sectors
Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; … - National Bureau of Economic Research (NBER) - 2010
We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly...
Persistent link: https://www.econbiz.de/10008540040
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CAPM Over the Long Run: 1926-2001
Ang, Andrew; Chen, Joseph - National Bureau of Economic Research (NBER) - 2005
stochastic systematic volatility, there is little evidence that the conditional alpha for a book-to-market trading strategy is …
Persistent link: https://www.econbiz.de/10005079160