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Option-implied information and predictability of extreme returns
Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013
We study whether prices of traded options contain information about future extreme market events. Our option … probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts …
Persistent link: https://www.econbiz.de/10010226098
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 28, 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539849
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016 - This version: April 5, 2016
The term `financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011448180
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Price and liquidity discovery in European sovereign bonds and futures
Jappelli, Ruggero; Lucke, Konrad; Pelizzon, Loriana - 2022
This work uses financial markets connected by arbitrage relations to investigate the dynamics of price and liquidity discovery, which refer to the cross-instrument forecasting power for prices and liquidity, respectively. Specifically, we seek to understand the linkage between the cheapest to...
Persistent link: https://www.econbiz.de/10013194146
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Volatility-of-volatility risk
Huang, Darien; Schlag, Christian; Shaliastovich, Ivan; … - 2018
time-series of index and VIX option returns, beyond volatility risk itself. Volatility and volatility …-of-volatility measures, identified modelfree from the option price data as the VIX and VVIX indices, respectively, are only weakly related to … each other. Delta-hedged index and VIX option returns are negative on average, and are more negative for strategies which …
Persistent link: https://www.econbiz.de/10011849232
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …
Persistent link: https://www.econbiz.de/10013365214
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Liquidity derivatives
Bagnara, Matteo; Jappelli, Ruggero - 2022
. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to …
Persistent link: https://www.econbiz.de/10013491550
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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
compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that … the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more …
Persistent link: https://www.econbiz.de/10011317706
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Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, … - 2015
This paper analyzes sovereign risk shift-contagion, i.e. positive and significant changes in the propagation mechanisms, using bond yield spreads for the major eurozone countries. By emphasizing the use of two econometric approaches based on quantile regressions (standard quantile regression and...
Persistent link: https://www.econbiz.de/10010527055
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Compensation schemes, liquidity provision, and asset prices : an experimental analysis
Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste - 2015
In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a potentially higher return, they can entrust their money...
Persistent link: https://www.econbiz.de/10010530580