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Put Options Are Not Too Expensive— An Analysis of Path Peso Problems —
Branger, Nicole; Schlag, Christian - Universität <Münster, Westfalen> / Lehrstuhl für … - 2005
The observed prices of out-of-the money put options seem too high given standardderivative pricing models. One possible … explanation is a Peso problem: crashes (forwhich the payoff of a put is high) are taken into account for pricing, but are under … derived pricing restriction controllingfor the peso problem is violated.In this paper, we argue that the approach presented by …
Persistent link: https://www.econbiz.de/10005867630
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Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia?
Branger, Nicole; Schlag, Christian - 2004
the premium is the same as the sign of the mean hedging error for a large class of stochastic volatility option pricing …
Persistent link: https://www.econbiz.de/10010263305
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Non-substitutable consumption growth risk
Dittmar, Robert F.; Schlag, Christian; Thimme, Julian - 2023
Standard applications of the consumption-based asset pricing model assume that goods and services within the nondurable … the pricing function as a separate factor. Variation in energy consumption betas explains a large part of the premia …
Persistent link: https://www.econbiz.de/10014446297
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A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022
This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...
Persistent link: https://www.econbiz.de/10013470682
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Commodities, financialization, and heterogeneous agents
Branger, Nicole; Grüning, Patrick; Schlag, Christian - 2016
The term 'financialization' describes the phenomenon that commodity contracts are traded for purely financial reasons and not for motives rooted in the real economy. Recently, financialization has been made responsible for causing adverse welfare effects especially for low-income and low-wealth...
Persistent link: https://www.econbiz.de/10011539953
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"Nobody is perfect": Asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
Branger, Nicole; Schlag, Christian; Wu, Lue - 2015
compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that … the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more …
Persistent link: https://www.econbiz.de/10011315454
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Predictability and the cross-section of expected returns: A challenge for asset pricing models
Schlag, Christian; Semenischev, Michael; Thimme, Julian - 2020
Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test for the ability of such a model to explain the cross-section of expected...
Persistent link: https://www.econbiz.de/10012271695
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Equilibrium asset pricing in directed networks
Branger, Nicole; Konermann, Patrick; Meinerding, Christoph - 2020
consumption-based equilibrium asset pricing model, we obtain closed-form solutions that disentangle these channels for arbitrary …
Persistent link: https://www.econbiz.de/10012302571
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GMM weighting matrices incross-sectional asset pricing tests
Laurinaityte, Nora; Meinerding, Christoph; Schlag, Christian - 2020
Cross-sectional asset pricing tests with GMM can generate spuriouslyhigh explanatory power for factor models when the …
Persistent link: https://www.econbiz.de/10012373291
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Momentum-managed equity factors
Flögel, Volker; Schlag, Christian; Zunft, Claudia - 2021
Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, profitability,...
Persistent link: https://www.econbiz.de/10012592552