Showing 1 - 10 of 154
measure VRP which distinguishes the investment horizon from the variance swap's maturity. We extract VRP from actual rather … than synthetic S&P 500 variance swap quotes, thus avoiding biases in VRP measurement. Next, we find that a deterioration of …
Persistent link: https://www.econbiz.de/10010472838
Persistent link: https://www.econbiz.de/10014631072
Persistent link: https://www.econbiz.de/10011950510
Persistent link: https://www.econbiz.de/10003168433
Persistent link: https://www.econbiz.de/10001609824
Persistent link: https://www.econbiz.de/10013259971
While empirical literature has documented a negative relation between default risk and stock returns, the theory suggests that default risk should be positively priced. We provide an explanation for this "default anomaly", by calculating monthly probabilities of default (PDs) for a large sample...
Persistent link: https://www.econbiz.de/10011861135
Persistent link: https://www.econbiz.de/10000952143
Persistent link: https://www.econbiz.de/10000963526
Persistent link: https://www.econbiz.de/10000977546