generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …, and volatility risks, its performance presents a challenge to asset pricing models. …

phenomenon based on trading constraints and asymmetric information. A key feature of our theory is that rational uninformed …

paper attempts to quantify the problem. Using news reflected in the stock market as a benchmark for public information, we … report evidence of significant incremental information revelation in the credit default swap (CDS) market, consistent with …. Furthermore, consistent with hedging activity by informed banks with loan exposure, information revelation in the CDS market is …

a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market … actual downgrade and reversing sharply thereafter. We show that a measure of liquidity risk faced by corporate bond market … portion of this excess co-movement. Additional robustness checks suggest that this relationship between the liquidity risk …

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as …

contained in the volatility risk premium and option-implied skewness increases substantially Sharpe ratios and certainty …Our objective in this paper is to examine whether one can use option-implied information to improve mean …-variance portfolio selection with a large number of stocks, and to document which aspects of option-implied information are most useful …

Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk … measure with an endogenous or exogenous benchmark. If the risk measure is modelled by a negative HARA-function, then sharing … variance and kurtosis of the risk-neutral probability distribution of the aggregate pay-off. …