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The Rise and Fall of Demand for Securitizations

Chernenko, Sergey; Hanson, Samuel G.; Sunderam, Adi - National Bureau of Economic Research (NBER) - 2014

Collateralized debt obligations (CDOs) and private-label mortgage-backed securities (MBS) backed by nonprime loans played a central role in the recent financial crisis. Little is known, however, about the underlying forces that drove investor demand for these securitizations. Using micro-data on...

Persistent link: https://www.econbiz.de/10011103520

Buffett's Alpha

Frazzini, Andrea; Pedersen, Lasse Heje; Kabiller, David - National Bureau of Economic Research (NBER) - 2013

more than 30 years, and Berkshire has a significant alpha to traditional risk factors. However, we find that the alpha …

Persistent link: https://www.econbiz.de/10010951286

Life is Cheap: Using Mortality Bonds to Hedge Aggregate Mortality Risk

Friedberg, Leora; Webb, Anthony - National Bureau of Economic Research (NBER) - 2006

Using the widely-cited Lee-Carter mortality model, we quantify aggregate mortality risk as the risk that the average … substantial mortality risk. We calculate that a markup of 3.7% on an annuity premium (or else shareholders%u2019 capital equal to … underpriced. Insurance companies could deal with aggregate mortality risk by transferring it to financial markets through …

Persistent link: https://www.econbiz.de/10005036808

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

Creal, Drew D.; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2014

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the...

Persistent link: https://www.econbiz.de/10011262793

The Joint Cross Section of Stocks and Options

Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

Persistent link: https://www.econbiz.de/10010951430

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

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

misspecification-robust asymptotic standard errors of the risk premia estimates. We also derive the asymptotic distribution of the …

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

Cointegration and Consumption Risks in Asset Returns

Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - National Bureau of Economic Research (NBER) - 2007

a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks …

Persistent link: https://www.econbiz.de/10005710762

Identification and Estimation of Gaussian Affine Term Structure Models

Hamilton, James; Wu, Jing Cynthia - National Bureau of Economic Research (NBER) - 2012

This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the...

Persistent link: https://www.econbiz.de/10009421968

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

Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

Mitchell, Olivia; Chai, Jingjing; Horneff, Wolfram; … - National Bureau of Economic Research (NBER) - 2009

This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the...

Persistent link: https://www.econbiz.de/10004980314