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Embedded Leverage
Frazzini, Andrea - 2012
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10012460102
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Investors' and Central Bank's Uncertainty Embedded in Index Options
David, Alexander - 2011
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio of OTM puts' over OTM calls' implied volatilities (P/C) are followed by persistently higher rates. The stock's and Treasury-bond's ATMIV indices, which measure market...
Persistent link: https://www.econbiz.de/10012461893
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Effects of Index-Fund Investing on Commodity Futures Prices
Hamilton, James D. - 2014
The last decade brought substantial increased participation in commodity markets by index funds that maintain long positions in the near futures contracts. Policy makers and academic studies have reached sharply different conclusions about the effects of these funds on commodity futures prices....
Persistent link: https://www.econbiz.de/10012458772
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The Rise of Factor Investing : "Passive" Security Design and Market Implications
Cong, Lin William; Huang, Shiyang; Xu, Douglas - National Bureau of Economic Research - 2024
We model financial innovations such as Exchange-Traded Funds, smart beta products, and many index-based vehicles as composite securities (CSs) that facilitate trading the common factors in assets' liquidation values. Through accessing a larger basket of assets in endogenously chosen proportions,...
Persistent link: https://www.econbiz.de/10014468216
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Hedging Macroeconomic and Financial Uncertainty and Volatility
Dew-Becker, Ian - 2019
risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …
Persistent link: https://www.econbiz.de/10012480268
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Trading Volume : Implications of An Intertemporal Capital Asset Pricing Model
Lo, Andrew W. - 2001
hedging portfolio, which allows them to hedge the dynamic risk. This implies that trading volume of individual assets exhibit … a two-factor structure, and their factor loadings depend on their weights in the hedging portfolio. This allows us to … empirically identify the hedging portfolio using volume data. We then test the two properties of the hedging portfolio: its return …
Persistent link: https://www.econbiz.de/10012470153
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The Cross-Section of Risk and Return
Daniel, Kent - 2017
In the finance literature, a common practice is to create factor-portfolios by sorting on characteristics (such as book-to-market, profitability or investment) associated with average returns. The goal of this exercise is to create a parsimonious set of factor-portfolios that explain the...
Persistent link: https://www.econbiz.de/10012453549
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Inflation Tracking Portfolios
Downing, Christopher T. - 2012
hedging approach can eliminate nearly 90 percent of the tracking error of more conventional inflation hedging strategies. We … also find that long-short positions in equities play a dominant role in the effective hedging of inflation risk over …
Persistent link: https://www.econbiz.de/10012460524
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The empirical foundations of the arbitrage pricing theory
Lehmann, Bruce Neal; Modest, David M. - 1985
Persistent link: https://www.econbiz.de/10000687104
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Country Portfolios
Kraay, Aart - 2000
How do countries hold their financial wealth? We construct a new database of countries' claims on capital located at home and abroad, and international borrowing and lending, covering 68 countries from 1966 to 1997. We find that a small amount of capital flows from rich countries to poor...
Persistent link: https://www.econbiz.de/10012470955