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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …
Persistent link: https://www.econbiz.de/10009293656
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Cross listing: price discovery dynamics and exchange rate effects
Scherrer, Cristina M. - School of Economics and Management, University of Aarhus - 2014
The paper investigates the dynamics of price discovery for cross-listed firms and the impact of exchange rate shocks on firm value. A simple price discovery model is proposed in which prices in the home and foreign markets react to shocks on two latent prices, namely, the efficient firm value...
Persistent link: https://www.econbiz.de/10011098648
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Forward-Looking Betas
Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory - School of Economics and Management, University of Aarhus - 2007
Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...
Persistent link: https://www.econbiz.de/10005440055
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Evaluating Value-at-Risk Models with Desk-Level Data
Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008
We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...
Persistent link: https://www.econbiz.de/10005037434
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...
Persistent link: https://www.econbiz.de/10009371457
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness-maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
Persistent link: https://www.econbiz.de/10010851195
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Illiquidity Premia in the Equity Options Market
Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
Illiquidity is well-known to be a significant determinant of stock and bond returns. We report on illiquidity premia in the equity options market. An increase in option illiquidity decreases the current option price and implies higher expected option returns. This effect is statistically and...
Persistent link: https://www.econbiz.de/10010851197
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Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
Posch, Olaf; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2012
This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a …
Persistent link: https://www.econbiz.de/10010851201
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Dynamic Diversification in Corporate Credit
Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; … - School of Economics and Management, University of Aarhus - 2013
We characterize diversification in corporate credit using a new class of dynamic copula models which can capture dynamic dependence and asymmetry in large samples of firms. We also document important differences between credit spread and equity return dependence dynamics. Modeling a decade of...
Persistent link: https://www.econbiz.de/10010851205
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206