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The price of the smile and variance risk premia
Gruber, Peter H.; Tebaldi, Claudio; Trojani, Fabio - 2015 - This version: September 8, 2015
downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …
Persistent link: https://www.econbiz.de/10011412294
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Has the pricing of stocks become more global?
Petzev, Ivan; Schrimpf, Andreas; Wagner, Alexander F. - 2015
We show that in recent years global factor models have been catching up significantly with their local counterparts in terms of explanatory power (R2) for international stock returns. This catch-up is driven by a rise in global factor betas, not a rise in factor volatilities, suggesting that the...
Persistent link: https://www.econbiz.de/10011412487
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Measuring house price bubbles
Bourassa, Steven C.; Hoesli, Martin; Oikarinen, Elias - 2016
Using data for six metropolitan housing markets in three countries, this paper provides a comparison of methods used to measure house price bubbles. We use an asset pricing approach to identify bubble periods retrospectively and then compare those results with results produced by six other...
Persistent link: https://www.econbiz.de/10011514230
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Commonality in liquidity and real estate securities
Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014
liquidity risk. This explains (at least partly) the small impact of commonality on asset prices documented in the extant …
Persistent link: https://www.econbiz.de/10010412872
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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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Estimation of large dimensional conditional factor models in finance
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019
finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …
Persistent link: https://www.econbiz.de/10012101166
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Asset Pricing with “Buy Now, Pay Later”
Malamud, Semyon; Wang, Neng; Zhang, Yuan - 2022
stochastic and co-moves with market risk, the BNPLCCAPM pricing kernel can jointly price size- and book-to-market-sorted stock …
Persistent link: https://www.econbiz.de/10014236310
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Machine Learning and the Implementable Efficient Frontier
Jensen, Theis Ingerslev; Kelly, Bryan T.; Malamud, Semyon; … - 2022
risk, which we term the "implementable efficient frontier." While numerous studies use machine learning return forecasts to …
Persistent link: https://www.econbiz.de/10013492674
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Hedge fund alphas : do they reflect managerial skills or mere compensation for liquidity risk bearing?
Gibson, Rajna; Wang, Songtao - 2008
This article analyzes the effect of liquidity risk on the performance of various hedge fund portfolio strategies …. Similarly to Avramov et al. (2007), we find that, before accounting for the effect of liquidity risk, hedge fund portfolios that … dramatically for six out of ten hedge fund style-based portfolios once we account for liquidity risk. Hence, for most hedge fund …
Persistent link: https://www.econbiz.de/10003966170
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On dynamic hedging of single-tranche collateralized debt obligations
Eksi, Zehra; Filipović, Damir - 2013
, we specify a top-down affine factor model in which a catastrophic risk component is incorporated in order to capture the …
Persistent link: https://www.econbiz.de/10009750624