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Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010388611
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - 2017
The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...
Persistent link: https://www.econbiz.de/10011657819
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2004
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10009524821
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Risk and return in convertible arbitrage : evidence from the convertible bond market
Agarwal, Vikas; Fung, William H.; Loon, Yee Cheng; … - 2010
In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a … strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy … CBs to the equity market. -- Hedge funds ; Convertible Bonds ; Convertible arbitrage ; Supply ; Risk Factors …
Persistent link: https://www.econbiz.de/10008758073
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Risk-adjusted option-implied moments
Brinkmann, Felix; Korn, Olaf - 2014
Option-implied moments, like implied volatility, contain useful information about an underlying asset's return distribution, but are derived under the risk-neutral probability measure. This paper shows how to convert risk-neutral moments into the corresponding physical ones. The main theoretical...
Persistent link: https://www.econbiz.de/10010399367
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013
We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and trading concentrates on assets of intermediate maturity....
Persistent link: https://www.econbiz.de/10009767309
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2013 - Rev.
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and illiquidity spills over from short-term to long-term...
Persistent link: https://www.econbiz.de/10010248497
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Low-beta investment strategies
Korn, Olaf; Kuntz, Laura-Chloé - 2016 - This version: October 2016
This paper compares several investment strategies designed to exploit the low-beta anomaly. Although the notion of buying low-beta stocks and selling high-beta stocks is natural, a choice is necessary with respect to the relative weighting of high-beta stocks and low-beta stocks in the...
Persistent link: https://www.econbiz.de/10011553310
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A heterogeneous agents equilibrium model for the term structure of bond market liquidity
Schuster, Philipp; Gehde-Trapp, Monika; Uhrig-Homburg, … - 2016
We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only hold short-term assets) and predicts i) a hump-shaped...
Persistent link: https://www.econbiz.de/10011449872
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International characteristic-based asset pricing
Jagannathan, Murali; Jiao, Wei; Wermers, Russ - 2020 - This version: August 2019
In this paper, we develop characteristic-based asset-pricing models for international stocks. We price stocks using passive portfolios created based on observable characteristics: market capitalization, book-to-market, prior-year return, growth of total assets, and operating profitability, each...
Persistent link: https://www.econbiz.de/10012387428