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Asymmetric beta comovement and systematic downside risk

Jondeau, Eric; Zhang, Qunzi - 2014

"Systematic Downside Risk" (SDR) is defined to characterize this asymmetry in the comovement of betas. This indicator negatively …

Persistent link: https://www.econbiz.de/10010442899

Portfolio allocation for European markets with predictability and parameter uncertainty

Jondeau, Eric; Rockinger, Michael - 2010

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

Persistent link: https://www.econbiz.de/10008797745

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

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 … of conditional information, and reviews an arbitrage pricing theory for large dimensional factor models in this framework … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …

Persistent link: https://www.econbiz.de/10012101166

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

Hedge fund performance under misspecified models

Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020

the CAPM, and (ii) produce large and positive alphas. In contrast, we observe a large and statistically significant …

Persistent link: https://www.econbiz.de/10012419384

Crash-o-phobia in currency carry trade returns

Hammerschmid, Regina; Janssen, Alexandra - 2018

weighting is called crash-o-phobia. Using non-linear least squares and risk-neutral state prices implied by currency options, we …

Persistent link: https://www.econbiz.de/10011937090

Principal portfolios

Kelly, Bryan T.; Malamud, Semyon; Pedersen, Lasse Heje - 2020 - This version: June 8, 2020

We propose a new asset-pricing framework in which all securities' signals are used to predict each individual return. While the literature focuses on each security's own- signal predictability, assuming an equal strength across securities, our framework is flexible and includes...

Persistent link: https://www.econbiz.de/10012271188

Complexity in Factor Pricing Models

Didisheim, Antoine; Ke, Shikun; Kelly, Bryan T.; … - 2023

We theoretically characterize the behavior of machine learning asset pricing models. We prove that expected out-of-sample model performance—in terms of SDF Sharpe ratio and average pricing errors—is improving in model parameterization (or “complexity”). Our results predict that the best...

Persistent link: https://www.econbiz.de/10014254198

Crash risk in individual stocks

Pederzoli, Paola - 2018

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

Persistent link: https://www.econbiz.de/10011899675