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Bali, Turan G.; Zhou, Hao - 2013

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

Persistent link: https://www.econbiz.de/10010500237

Classes of homogeneous financing constraints and corporate investment

Iona, Alfonsina; Leonida, Leone - 2024

Does corporate finance literature accurately identify firms facing homogeneous financing constraints when studying the impact of financing constraints on corporate investment? The short answer is no. The common practice of using pre-determined percentiles of a financing constraint metric...

Persistent link: https://www.econbiz.de/10015124964

Irreversible Investment in General Equilibrium

Hugonnier, Julien; Morellec, Erwan; Sundaresan, Suresh - Institut für Schweizerisches Bankwesen <Zürich> - 2005

theory of lumpy investments and show that such feedback effects can severely erode the option value of waiting even for … moderate levels of risk aversion. Our analysis demonstrates that the implications of partial equilibrium models of investment … investment lead to time variation in risk aversion and produce a countercyclical equity risk premium. …

Persistent link: https://www.econbiz.de/10005858793

A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements

Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005

In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...

Persistent link: https://www.econbiz.de/10005858728

The contribution of transaction costs to expected stock returns: A novel measure

Hiraki, Kazuhiro; Skiadopoulos, George - 2023

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...

Persistent link: https://www.econbiz.de/10014480627

Surprise volume and heteroskedasticity in equity market returns

Wagner, Niklas; Marsh, Terry A. - 2004

reveals a significant positive market risk premium, asymmetry, and a surprise volume effect in conditional variance. The …

Persistent link: https://www.econbiz.de/10010305808

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Bali, Turan G.; Engle, Robert F.; Tang, Yi - 2013

This paper investigates the significance of dynamic conditional beta in predicting the cross-sectional variation in expected stock returns. The results indicate that the time-varying conditional beta is alive and well in the cross-section of daily stock returns. Portfolio-level analyses and...

Persistent link: https://www.econbiz.de/10010500239

Liquidity Shocks and Stock Market Reactions

Bali, Turan G.; Peng, Lin; Shen, Yannan; Tang, Yi - 2013

months in the future. Long-short portfolios sorted on past liquidity shocks generate a raw and risk-adjusted return of more … liquidity shocks, different sample periods, and after controlling for various risk factors and firm characteristics. Furthermore …

Persistent link: https://www.econbiz.de/10010500241

Profit Testing of Profit Sharing Life Insurance Policies in the Presence of Extreme Risks

Le Courtois, Olivier; Shen, Li - 2023

smaller expected net present value and in larger risk indicators for the net present value - than the normal model for … that the expected net present value is higher but that the risk indicators built on the net present value remain higher in …

Persistent link: https://www.econbiz.de/10014356168

Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

Ledoit, Olivier; Wolf, Michael - 2013

Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of the data is of a magnitude similar to the sample size, or even larger. In such settings, there is a common remedy for...

Persistent link: https://www.econbiz.de/10010316930