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Re-use of collateral : leverage, volatility, and welfare
Brumm, Johannes; Kubler, Felix; Grill, Michael; … - 2017
We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and …-use frees up collateral that can be used to back more transactions. Re-use thus contributes to the build-up of leverage and … lead to excessive leverage and lower welfare. So the analysis in this paper provides a rationale for limiting, yet not …
Persistent link: https://www.econbiz.de/10011626567
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Levered returns and capital structure imbalances
Ippolito, Filippo; Steri, Roberto; Tebaldi, Claudio - 2017
We revisit the relation between equity returns and financial leverage through the lens of a trade-off model with costly … returns depend on whether a firm's leverage is above or below its target leverage. The data support the model predictions …. Controlling for leverage, overlevered (underlevered) firms earn higher (lower) returns. Controlling for target leverage the …
Persistent link: https://www.econbiz.de/10011899835
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Long-term portfolio management with a structural macroeconomic model
Cales, Ludovic; Jondeau, Eric; Rockinger, Michael - 2013
The aim of this paper is to investigate long-term portfolio management in a fully structural macro- financial framework. First, we estimate a Dynamic Stochastic General Equilibrium (DSGE) model that describes the dynamic of the US economy and financial markets. In addition to the typical...
Persistent link: https://www.econbiz.de/10010256360
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The acceleration effect and gamma factor in asset pricing
Ardila, Diego; Forró, Zalán; Sornette, Didier - 2015
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974
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Average skewness matters!
Jondeau, Eric; Zhang, Qunzi - 2015
Average skewness, which is defined as the average of monthly skewness values across firms, performs well at predicting future market returns. This result still holds after controlling for the size or liquidity of the firms or for current business cycle conditions. We also find that average...
Persistent link: https://www.econbiz.de/10011412455
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Optimal long-term allocation with pension fund liabilities
Jondeau, Eric; Rockinger, Michael - 2014
We build a macroeconomic model for Switzerland, the Euro Area, and the USA that drives the dynamics of several asset classes and the liabilities of a representative Swiss (defined-contribution) pension fund. This encompassing approach allows us to generate correlations between returns on assets...
Persistent link: https://www.econbiz.de/10010442892
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Asymmetric beta comovement and systematic downside risk
Jondeau, Eric; Zhang, Qunzi - 2014
In this paper, we document evidence that downside betas tend to comove more than upside betas during a financial crisis, but upside betas tend to comove more than the downside betas during financial booms. We find that the asymmetry between Downside-Beta Comovement and Upside-Beta Comovement is...
Persistent link: https://www.econbiz.de/10010442899
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A theory of scenario generation
Schneider, Paul - 2019
We show how distributions can be reduced to low-dimensional scenario trees. Applied to intertemporal distributions, the scenarios and their probabilities become time-varying factors. From S&P 500 options, two or three time-varying scenarios suffice to forecast returns, implied variance or...
Persistent link: https://www.econbiz.de/10012003165
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Sentimental recovery
Pazarbasi, Altan; Schneider, Paul; Vilkov, Grigory - 2019 - This version: November 29, 2019
We investigate the market-compatible degree of agent heterogeneity by identifying and analyzing the full range of conditional beliefs consistent with observed asset prices and good-deal bounds. Our methodology neither makes assumptions on underlying processes nor does it use survey data. It can...
Persistent link: https://www.econbiz.de/10012134438
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Leverage Effect Puzzle : A Rational Explanation
Pankratov, Andrey - 2019
's "leverage effect" (a.k.a. asymmetric volatility), (ii) persistent volatility, and (iii) more negative skewness for longer …
Persistent link: https://www.econbiz.de/10012893350