Showing 1 - 10 of 10
index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The …
Persistent link: https://www.econbiz.de/10009725591
Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...
Persistent link: https://www.econbiz.de/10009679505
We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...
Persistent link: https://www.econbiz.de/10012170744
from options data. In a second step, jump tail distributions are approximated using the extreme value theory. Applying the …
Persistent link: https://www.econbiz.de/10012988747
Stablecoins and money market funds both seek to provide investors with safe, money-like assets but are vulnerable to runs in times of stress. In this paper, we investigate similarities and differences between the two, comparing investor behavior during the stablecoin runs of 2022 and 2023 to...
Persistent link: https://www.econbiz.de/10014391283
Purportedly consistent with "risk parity" (RP) asset allocation, recent studies document compelling "low risk" trading strategies that exploit a persistently negative relation between Sharpe ratios (SRs) and maturity along the U.S. Treasury (UST) term structure. This paper extends this evidence...
Persistent link: https://www.econbiz.de/10010467093
We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...
Persistent link: https://www.econbiz.de/10003781783
We study long-term returns on residential real estate in twenty-seven "superstar" cities in fifteen countries over 150 years. We find that total returns in superstar cities are close to 100 basis points lower per year than in the rest of the country. House prices tend to grow faster in the...
Persistent link: https://www.econbiz.de/10012797899
Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...
Persistent link: https://www.econbiz.de/10012988707
incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis - as high as 30 …
Persistent link: https://www.econbiz.de/10010482953