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Asset pricing with regime-dependent preferences and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013

of risk, the interest rate, the stock market volatility, the equity premium and the moments of the consumption growth …

Persistent link: https://www.econbiz.de/10010256362

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

The US stock market leads the federal funds rate and treasury bond yields

Guo, Kun; Zhou, Wei-Xing; Cheng, Si-Wei; Sornette, Didier - 2011

Using a recently introduced method to quantify the time varying lead-lag dependencies between pairs of economic time series (the thermal optimal path method), we test two fundamental tenets of the theory of fixed income: (i) the stock market variations and the yield changes should be...

Persistent link: https://www.econbiz.de/10009009600

ETFs, arbitrage, and contagion

Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2012 - March 2012

ETFs increase the volatility of the underlying assets, and that the prices of the underlying assets are affected by shocks … ; undervaluation ; volatility ; excess returns ; price ; cross market contagion ; arbitrageurs …

Persistent link: https://www.econbiz.de/10009554748

Jumps in high-frequency data : spurious detections, dynamics, and news

Bajgrowicz, Pierre; Scaillet, Olivier - 2011

We propose a technique to avoid spurious detections of jumps in high-frequency data via an explicit thresholding on available test statistics. We prove that it eliminates asymptotically all spurious detections. Monte Carlo results show that it performs also well in finite samples. In Dow Jones...

Persistent link: https://www.econbiz.de/10009313027

Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - 2016 - This draft: May 31, 2016

idiosyncratic stock volatility following acquisitions by foreign investors …

Persistent link: https://www.econbiz.de/10011519062

Crashes and high frequency trading : [an evaluation of risks posed by high-speed algorithmic trading]

Becke, Susanne von der; Sornette, Didier - 2011

Persistent link: https://www.econbiz.de/10009561750

When are stocks less volatile in the long run?

Jondeau, Eric; Zhang, Qunzi; Zhu, Xiaoneng - 2017 - This Draft: December, 2017

Pastor and Stambaugh (2012) demonstrate that from a forward-looking perspective, stocks are more volatile in the long run than they are in the short run. We investigate how the economic constraint of non-negative equity premia aspects predictive variance. When investors expect non-negative...

Persistent link: https://www.econbiz.de/10011876206

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Risk-adjusted time series momentum

Dudler, Martin; Gmür, Bruno; Malamud, Semyon - 2014

based on averages of past futures returns, normalized by their volatility. We test these strategies on a universe of 64 … asset class, realized futures volatility is contemporaneously negatively related to the Fama and French (1987) market (MKT … in trading costs. We construct measures of momentum-specific volatility, both within and across asset classes, and show …

Persistent link: https://www.econbiz.de/10011293745