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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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Measuring and Modelling Variation in the Risk-Return Trade-off
Lettau, Martin; Ludvigson, Sydney - C.E.P.R. Discussion Papers - 2001
? Can stock return predictability be explained by changes in stock market volatility? How does the mean return per unit risk … predictor of both the mean and volatility of excess stock market returns. We characterize the risk-return tradeoff as the … negatively linked to variation in market volatility, at odds with leading asset pricing models. Since the conditional volatility …
Persistent link: https://www.econbiz.de/10005498159
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Systemic Risk and Network Formation in the Interbank Market
Cohen-Cole, Ethan; Patacchini, Eleonora; Zenou, Yves - C.E.P.R. Discussion Papers - 2011
that provides an intellectual combination of the two by looking at how shocks propagate through a network of interconnected … network formation with n agents. Because we have an explicit characterization of equilibrium behavior, we have a tractable way …
Persistent link: https://www.econbiz.de/10009003370
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The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies
Bansal, Ravi; Dahlquist, Magnus - C.E.P.R. Discussion Papers - 1999
inflation rates, and inflation volatility. Our empirical work suggests that it is hard to justify the cross …
Persistent link: https://www.econbiz.de/10005504460
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Credit Risk and Disaster Risk
Gourio, François - C.E.P.R. Discussion Papers - 2011
Macroeconomic models with financial frictions typically imply that the excess return on a well-diversified portfolio of corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in the corporate bond market (the "credit spread...
Persistent link: https://www.econbiz.de/10008854475
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Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence
Albuquerque, Rui; Durnev, Artyom; Koskinen, Yrjö - C.E.P.R. Discussion Papers - 2013
This paper presents an industry equilibrium model where firms can choose to engage in corporate social responsibility (CSR) activities. We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk and increases firm value. These effects are stronger...
Persistent link: https://www.econbiz.de/10011083749
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Risk-Adjusting the Returns to Venture Capital
Korteweg, Arthur; Nagel, Stefan - C.E.P.R. Discussion Papers - 2013
Performance evaluation of venture-capital (VC) payoffs is challenging because payoffs are infrequent, skewed, realized over endogenously varying time horizons, and cross- sectionally dependent. We show that standard stochastic discount factor (SDF) methods can be adapted to handle these issues....
Persistent link: https://www.econbiz.de/10011084553
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Sources of Risk in Currency Returns
Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012
We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...
Persistent link: https://www.econbiz.de/10011083487
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Natural resource wealth: the challenge of managing a windfall
van der Ploeg, Frederick; Venables, Anthony J - C.E.P.R. Discussion Papers - 2011
volatility of revenues, have failed to save a sufficiently high proportion of their resource revenues and failed to make high …
Persistent link: https://www.econbiz.de/10009385762
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Biased Shorts: Stock Market Implications of Short Sellers’ Disposition Effect
Massa, Massimo; von Beschwitz, Bastian - C.E.P.R. Discussion Papers - 2015
We investigate whether short sellers are subject to the disposition effect using a novel dataset that allows to identify the weekly closing of short positions. Consistent with the disposition effect, the closing of short sale positions is strongly related to a proxy of Shortsale Capital Gains...
Persistent link: https://www.econbiz.de/10011252613