Showing 1 - 10 of 223
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program (TARP) announcement and find that its...
Persistent link: https://www.econbiz.de/10012016622
What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...
Persistent link: https://www.econbiz.de/10011932265
volatility risk. While pointing out the joint pricing kernel is not identified nonparametrically, we propose model-free estimates …
Persistent link: https://www.econbiz.de/10014121051
We find that firm-level variance risk premium, estimated as the difference between option-implied and expected … variances, has a prominent explanatory power for credit spreads in the presence of market- and firm-level risk control variables … variance. We provide further evidence that: (1) variance risk premium has a cleaner systematic component and Granger …
Persistent link: https://www.econbiz.de/10013118597
conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be …
Persistent link: https://www.econbiz.de/10014349013
We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to the uncertainty regarding both potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments...
Persistent link: https://www.econbiz.de/10012181922
This paper introduces the "compound confluent hypergeometric" (CCH) distribution. The CCH unifies and generalizes three recently introduced generalizations of the beta distribution: the Gauss hypergeometric (GH) distribution of Armero and Bayarri (1994), the generalized beta (GB) distribution of...
Persistent link: https://www.econbiz.de/10014056672
' heterogeneity in relative risk aversion and habit strength. We explicitly compute aggregate prices, such as equity premium, equity …
Persistent link: https://www.econbiz.de/10013108737
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10013112923
In electronic, liquid markets, traders frequently change their positions. The distribution of these trader position changes carries important information about liquidity demand in the market. From this distribution of trader position-changes, we construct a marketwide measure for intraday...
Persistent link: https://www.econbiz.de/10011803199