Narrow search
Showing 1 - 10 of 108
Cover Image
Are public and private asset returns and risks the same? : evidence from real estate data
Hoesli, Martin; Oikarinen, Elias - 2013
This article aims to investigate the similarity of public and private real estate returns and risks over the relatively long horizon using data for the U.S and the U.K. The results show evidence of a one-to-one relationship between publicly traded REIT performance and privately traded direct...
Persistent link: https://www.econbiz.de/10010256953
Cover Image
The valuation of iIlliquid assets : a focus on private equity and real estate
Gibson, Rajna; Hoesli, Martin; Shan, Jiajun - 2022
framework that can alleviate some of the drawbacks of traditional approaches. A new jump–diffusion option pricing model and a …
Persistent link: https://www.econbiz.de/10013168778
Cover Image
Accelerated American Option Pricing with deep neural networks
Anderson, David; Ulrych, Urban - 2021 - This Version: December 2021
an ever-changing market environment is essential. Thus, the smallest acceleration or improvement over traditional pricing … methods is crucial to avoid arbitrage. We propose a novel method for accelerating the pricing of American options to near … pricer induces a speed accuracy trade-off compared to the typical Monte Carlo or Partial Differential Equation-based pricing …
Persistent link: https://www.econbiz.de/10012800926
Cover Image
Cross-section without factors : correlation risk, strings and asset prices
Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021
Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related …
Persistent link: https://www.econbiz.de/10012421289
Cover Image
Squeezing shorts through social news platforms
Allen, Franklin; Nowak, Eric; Pirovano, Matteo; … - 2021 - This draft: April 12, 2021
At the end of January 2021, a group of stocks listed on US stock exchanges experienced sudden surges in their stock prices, which - coupled with high short interest – led to brief short squeeze episodes. We argue that these short squeezes were the result of coordinated trading by retail...
Persistent link: https://www.econbiz.de/10012502167
Cover Image
Ask BERT: how regulatory disclosure of transition and physical climate risks affects the CDS term structure
Kölbel, Julian; Leippold, Markus; Rillaerts, Jordy; … - 2020
We use BERT, an AI-based algorithm for language understanding, to decipher regulatory climate-risk disclosures and measure their impact on the credit default swap (CDS) market. Risk disclosures can either increase or decrease credit spreads, depending on whether disclosure reveals new risks or...
Persistent link: https://www.econbiz.de/10012487823
Cover Image
On the use of equities in target date funds
Barone-Adesi, Giovanni; Platen, Eckhard; Sala, Carlo - 2020
Is it possible to achieve almost riskless investment results in the long run through equity investments? The persistence of low interest rates is spurring research on this question, because of the need to increase yields, while limiting variability of investment results. Target date funds aim to...
Persistent link: https://www.econbiz.de/10012219170
Cover Image
Optimal risk-sharing across a network of insurance companies
Ettlin, Nicolas; Farkas, Walter; Kull, Andreas; … - 2020
Risk transfer is a key risk and capital management tool for insurance companies. Transferring risk between insurers is used to mitigate risk and manage capital re- quirements. We investigate risk transfer in the context of a network environment of insurers and consider capital costs and capital...
Persistent link: https://www.econbiz.de/10012270812
Cover Image
Cheap options are expensive
Eisdorfer, Assaf; Goyal, Amit; Zhdanov, Alexei - 2020
We show that options written on stocks with low prices are over-priced. This effect is robust to a variety of tests, controlling for common stock- and option- risk characteristics, and to reasonable transaction costs. Natural experiments corroborate this finding; options tend to become...
Persistent link: https://www.econbiz.de/10012271181
Cover Image
How integrated are credit and equity markets? : evidence from index options
Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020
In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a...
Persistent link: https://www.econbiz.de/10012271184