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Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10005870300

General Equilibrium and Risk Neutral Framework forOption Pricing with Mixture of Distributions

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying …

Persistent link: https://www.econbiz.de/10005870098

A general equilibrium and preference free model for pricing options under transformed gamma distribution

Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

distributed underlying asset. Closed formand preference free European option pricing formulae are derived for a variety of …(transformed) gamma distributions, and Heston’s (1993) model is obtained as aspecial case. The option pricing framework developed here … significantly extendsthe Gaussian class distributions embedded in current option pricing theories... …

Persistent link: https://www.econbiz.de/10005870109

The response of industry stock returns to market, exchange rate and interest rate risks

Hyde, Stuart - Manchester Business School - 2007

This study investigates the sensitivity of stock returns at the industry level to market, exchange rateand interest rate shocks in the four major European economies: France, Germany, Italy and the UK.In addition to exposure to the market, significant levels of exposure to both exchange rate...

Persistent link: https://www.econbiz.de/10005870157

Asset Allocation under Multivariate Regime Switching

Guidolin, Massimo; Timmermann, Allan - Manchester Business School - 2006

This paper studies asset allocation decisions in the presence of regime switching in asset returns. Wefind evidence that four separate regimes - characterized as crash, slow growth, bull and recovery states- are required to capture the joint distribution of stock and bond returns. Optimal asset...

Persistent link: https://www.econbiz.de/10005870161

Measuring Market Liquidity Risk - Which Model Works Best?

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Persistent link: https://www.econbiz.de/10005870304

Estimating the Fama and French Factors in the UK - An Empirical Review

Michou, Maria; Mouselli, Sulaiman; Stark, Andrew - Manchester Business School - 2007

The Fama and French (1993) three factor model has been used in controlling for risk in theestimation of abnormal returns stemming from various events (e.g., IPOs, takeovers, etc.),portfolio strategies (e.g., those exploiting accounting numbers such as post-earningsannouncement drift or total...

Persistent link: https://www.econbiz.de/10005870318

Accounting for Non-Normality in Liquidity Risk

Ernst, Cornelia; Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this fact or use the historical distribution to empirically...

Persistent link: https://www.econbiz.de/10005870319

Non-Linear Predictability in Stock and Bond Returns:When and Where Is It Exploitable?

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - Manchester Business School - 2008

We systematically examine the comparative predictive performance of a number of alternativelinear and non-linear models for stock and bond returns in the G7 countries. Besides Markovswitching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regimeswitching...

Persistent link: https://www.econbiz.de/10005870517

Tranching and Rating

Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008

thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …

Persistent link: https://www.econbiz.de/10005870670