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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
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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
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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
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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
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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
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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
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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
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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
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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
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Agricultural Decisions after Relaxing Credit and Risk Constraints
Karlan, Dean; Udry, Christopher; Osei, Robert Darko; … - National Bureau of Economic Research (NBER) - 2012
to farmer investment is uninsured risk: when provided with insurance against the primary catastrophic risk they face … insurance are consistent with the presence of important basis risk associated with the index insurance, with imperfect trust …
Persistent link: https://www.econbiz.de/10010969291