Similar Search Results

Testing Portfolio Efficiency with Conditioning Information

Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006

We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...

Persistent link: https://www.econbiz.de/10005034911

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007

The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … more compatible with the related concept of corridor implied volatility (CIV). We provide a comprehensive derivation of the … CIV measure and relate it to MFIV under general assumptions. In addition, we price the various volatility contracts, and …

Persistent link: https://www.econbiz.de/10005774581

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

Persistent link: https://www.econbiz.de/10011271459

Stock Return Predictability: Is it There?

Ang, Andrew; Bekaert, Geert - National Bureau of Economic Research (NBER) - 2001

We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with earnings growth, payout ratios and the short rate as...

Persistent link: https://www.econbiz.de/10005575706

Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

Shanken, Jay; Kan, Raymond; Robotti, Cesare - National Bureau of Economic Research (NBER) - 2009

Since Black, Jensen, and Scholes (1972) and Fama and MacBeth (1973), the two-pass cross-sectional regression (CSR) methodology has become the most popular approach for estimating and testing asset pricing models. Statistical inference with this method is typically conducted under the assumption...

Persistent link: https://www.econbiz.de/10005025630

Downside Risk

Ang, Andrew; Chen, Joseph; Xing, Yuhang - National Bureau of Economic Research (NBER) - 2005

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...

Persistent link: https://www.econbiz.de/10005718657

Testing Conditional Factor Models

Ang, Andrew; Kristensen, Dennis - National Bureau of Economic Research (NBER) - 2011

Using nonparametric techniques, we develop a methodology for estimating conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The tests can be performed for a single asset or jointly across portfolios. The...

Persistent link: https://www.econbiz.de/10009359903

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data

Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010

finer characteristics of these components such as the degree of activity of the jumps. We extend the existing theory to …

Persistent link: https://www.econbiz.de/10008597185

CAPM Over the Long Run: 1926-2001

Ang, Andrew; Chen, Joseph - National Bureau of Economic Research (NBER) - 2005

stochastic systematic volatility, there is little evidence that the conditional alpha for a book-to-market trading strategy is …

Persistent link: https://www.econbiz.de/10005079160

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

Billio, Monica; Lo, Andrew W.; Pelizzon, Loriana; … - National Bureau of Economic Research (NBER) - 2010

We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of hedge funds, banks, brokers, and insurance companies based on principal components analysis and Granger-causality tests. We find that all four sectors have become highly...

Persistent link: https://www.econbiz.de/10008540040