Narrow search
Showing 1 - 10 of 1,231
Cover Image
The Price of Political Uncertainty: Theory and Evidence from the Option Market
Pastor, Lubos; Kelly, Bryan; Veronesi, Pietro - National Bureau of Economic Research (NBER) - 2014
elections and global summits. We find that political uncertainty is priced in the option market in ways predicted by the theory …
Persistent link: https://www.econbiz.de/10010734235
Cover Image
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
Ang, Andrew; Longstaff, Francis A. - National Bureau of Economic Research (NBER) - 2011
We study the nature of systemic sovereign credit risk using CDS spreads for the U.S. Treasury, individual U.S. states, and major European countries. Using a multifactor affine framework that allows for both systemic and sovereign-specific credit shocks, we find that there is considerable...
Persistent link: https://www.econbiz.de/10009002580
Cover Image
The Real Value of China's Stock Market
Carpenter, Jennifer N.; Lu, Fangzhou; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2015
remain so for many years. The efficiency of its financial system in allocating capital to investment will be important to … last two decades is highly correlated with that of corporate investment efficiency. China’s stock market appears to be … access it. Yet this high alpha amounts to an inflated cost of equity capital, constraining the investment of China’s smaller …
Persistent link: https://www.econbiz.de/10011185010
Cover Image
Is There Hedge Fund Contagion?
Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2006
We examine whether hedge funds experience contagion. First, we consider whether extreme movements in equity, fixed income, and currency markets are contagious to hedge funds. Second, we investigate whether extreme adverse returns in one hedge fund style are contagious to other hedge fund styles....
Persistent link: https://www.econbiz.de/10005830111
Cover Image
Hedge Fund Contagion and Liquidity
Boyson, Nicole M.; Stahel, Christof W.; Stulz, Rene M. - National Bureau of Economic Research (NBER) - 2008
Using hedge fund indices representing eight different styles, we find strong evidence of contagion within the hedge fund sector: controlling for a number of risk factors, the average probability that a hedge fund style index has extreme poor performance (lower 10% tail) increases from 2% to 21%...
Persistent link: https://www.econbiz.de/10005580372
Cover Image
Foreign Ownership of U.S. Safe Assets: Good or Bad?
Ludvigson, Sydney C.; Van Nieuwerburgh, Stijn; … - National Bureau of Economic Research (NBER) - 2014
The last 20 years have been marked by a sharp rise in international demand for U.S. reserve assets, or safe stores-of-value. What are the welfare consequences to U.S. households of these trends, or of a reversal? In a lifecycle model with aggregate and idiosyncratic risks, the young and oldest...
Persistent link: https://www.econbiz.de/10010969327
Cover Image
Conditional Risk Premia in Currency Markets and Other Asset Classes
Lettau, Martin; Maggiori, Matteo; Weber, Michael - National Bureau of Economic Research (NBER) - 2013
The downside risk CAPM (DR-CAPM) can price the cross section of currency returns. The market-beta differential between high and low interest rate currencies is higher conditional on bad market returns, when the market price of risk is also high, than it is conditional on good market returns....
Persistent link: https://www.econbiz.de/10010969442
Cover Image
Global Asset Pricing
Lewis, Karen K. - National Bureau of Economic Research (NBER) - 2011
Financial markets have become increasingly global in recent decades, yet the pricing of internationally traded assets continues to depend strongly upon local risk factors, leading to several observations that are difficult to explain with standard frameworks. Equity returns depend upon both...
Persistent link: https://www.econbiz.de/10009228888
Cover Image
Global Currency Hedging
Campbell, John Y.; Viceira, Luis M.; Medeiros, Karine … - National Bureau of Economic Research (NBER) - 2007
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to risk-minimizing global equity...
Persistent link: https://www.econbiz.de/10005828911
Cover Image
Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets
Ehrlich, Isaac; Yin, Yong; Shin, Jong Kook - National Bureau of Economic Research (NBER) - 2010
By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or "home bias", from what standard finance models predict. Our model ascribes the "bias" to...
Persistent link: https://www.econbiz.de/10008624610