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Fundamental properties of linear factor models

Filipović, Damir; Schneider, Paul - 2024

Persistent link: https://www.econbiz.de/10015102037

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

address consistent estimation of the asymptotic variance, and testing for asset pricing restrictions induced by the no …

Persistent link: https://www.econbiz.de/10009313026

Time-varying risk premia in large international equity markets

Chaieb, Ines; Langlois, Hugues; Scaillet, Olivier - 2018

Persistent link: https://www.econbiz.de/10011876090

A joint factor model for bonds, stocks, and options

Bali, Turan G.; Beckmeyer, Heiner; Goyal, Amit - 2023 - This version: November 8, 2023

Persistent link: https://www.econbiz.de/10014483091

Cross-section without factors : correlation risk, strings and asset prices

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model … returns: an average correlation premium. This premium is both statistically and economically significant, and considerably …-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Persistent link: https://www.econbiz.de/10012421289

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model is calibrated at a quarterly frequency for ten European countries. We also use maximum-likelihood estimates and Bayesian estimates to account for parameter uncertainty. We find...

Persistent link: https://www.econbiz.de/10008797745

Super-exponential growth expectations and the global financial crisis

Leiss, Matthias; Nax, Heinrich H.; Sornette, Didier - 2014

We construct risk-neutral return probability distributions from S&P 500 options data over the decade 2003 to 2013, separable into pre-crisis, crisis and post-crisis regimes. The pre-crisis period is characterized by increasing realized and, especially, option-implied returns. This translates...

Persistent link: https://www.econbiz.de/10010443041

Credit spreads, daily business cycle, and corporate bond returns predictability

Ivashchenko, Alexey - 2017

The part of credit spread that is not explained by corporate credit risk forecasts future economic activity. I show that the link with aggregate business risk and bond liquidity risk explains this fi nding. Once I project spreads on these two risk factors, which are readily measurable with the...

Persistent link: https://www.econbiz.de/10011875655

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

Risk factors of European non-listed real estate fund returns

Delfim, Jean-Christophe; Hoesli, Martin - 2016

rich database of fund-level data for Europe, we apply panel regression techniques with random effects. Our results …

Persistent link: https://www.econbiz.de/10011514250