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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
construct managed portfolios of a risk-free asset and market index. …
Persistent link: https://www.econbiz.de/10010226098
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Asset pricing under uncertainty about shock propagation
Branger, Nicole; Grüning, Patrick; Kraft, Holger; … - 2013 - This version: November 18, 2013
sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …
Persistent link: https://www.econbiz.de/10010226589
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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013
construct managed portfolios of a risk-free asset and market index. …
Persistent link: https://www.econbiz.de/10010327807
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Globally dangerous diseases : bad news for Main Street, good news for Wall Street?
Donadelli, Michael; Kizys, Renatas; Riedel, Max - 2016
This paper examines whether investor mood, driven by World Health Organization (WHO) alerts and media news on globally dangerous diseases, is priced in pharmaceutical companies' stocks in the United States. We concentrate on irrational investors who buy and sell pharmaceutical companies' stocks...
Persistent link: https://www.econbiz.de/10011568702
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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Rodrigues, Paulo Jorge Maurício - 2009
This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...
Persistent link: https://www.econbiz.de/10012718585
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The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification
Billio, Monica - 2017
of the causes of systematic risk and shows that (i) network exposures act as an inflating factor for systematic exposure …
Persistent link: https://www.econbiz.de/10012963394
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Compensation schemes, liquidity provision, and asset prices : an experimental analysis
Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste - 2015
schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a …
Persistent link: https://www.econbiz.de/10010530580
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on …
Persistent link: https://www.econbiz.de/10013369419
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'Nobody is perfect' : asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
Branger, Nicole; Schlag, Christian; Wu, Lue - 2015
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model...
Persistent link: https://www.econbiz.de/10011317706
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The economic value of cross-predictability: A performance-based measure
Bagnara, Matteo - 2024
Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance-based measure that disentangles the economic value of cross-predictability into two components: the predictive power of one asset's signal for other assets' returns...
Persistent link: https://www.econbiz.de/10014633249