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Regression Based Estimation of Dynamic Asset Pricing Models
Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015
We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...
Persistent link: https://www.econbiz.de/10011186634
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The Time-Varying Systematic Risk of Carry Trade Strategies
Christiansen, Charlotte; Ranaldo, Angelo; Söderlind, Paul - C.E.P.R. Discussion Papers - 2009
This paper suggests a factor model for carry trade strategies where the regression coefficients are allowed to depend on market volatility and liquidity. Empirical results on daily data from 1995 to 2008 show that a typical carry trade strategy has much higher exposure to the stock market and...
Persistent link: https://www.econbiz.de/10005034753
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Competing on Speed
Pagnotta, Emiliano; Philippon, Thomas - C.E.P.R. Discussion Papers - 2012
Two forces have reshaped global securities markets in the last decade: Exchanges operate at much faster speeds and the …, we study a framework that captures (i) exchanges’ incentives to invest in faster trading technologies and (ii) investors … number of exchanges, faster trading is in general socially desirable. Similarly, for a given trading speed, competition among …
Persistent link: https://www.econbiz.de/10011084319