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Level shifts in beta, spurious abnormal returns and the TARP announcement

Phin, Andrew; Prono, Todd; Reeves, Jonathan J.; Saxena, … - 2018

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

Nothing is certain except death and taxes : the lack of policy uncertainty from expiring "temporary" taxes

Chang, Andrew C. - 2018

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

A Tale of Two Option Markets : Pricing Kernels and Volatility Risk

Song, Zhaogang; Xiu, Dacheng - 2017

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

Credit Default Swap Spreads and Variance Risk Premia

Zhou, Hao - 2011

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

When Uncertainty and Volatility are Disconnected : Implications for Asset Pricing and Portfolio Performance

Aït-Sahalia, Yacine; Matthys, Felix; Osambela, Emilio; … - 2021

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

Pricing Poseidon : extreme weather uncertainty and firm return dynamics

Kruttli, Mathias S.; Roth Tran, Brigitte; Watugala, … - 2019

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

A Generalization of Generalized Beta Distributions

Gordy, Michael B. - 1998

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

Habit Formation Heterogeneity : Implications for Aggregate Asset Pricing

Grishchenko, Olesya V. - 2012

' 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

The Information Content of the Embedded Deflation Option in TIPS

Grishchenko, Olesya V. - 2012

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

Trader positions and marketwide liquidity demand

Onur, Esen; Roberts, John S.; Tuzun, Tugkan - 2017

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