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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …
Persistent link: https://www.econbiz.de/10010225468
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Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening
Cao, Charles; Ghysels, Eric; Hatheway, Frank - Centre Interuniversitaire de Recherche en Analyse des … - 1998
One fundamental issue in the study of market microstructures is that of price discovery. While most existing studies focus on the trading period, little is known whether and how much the non-trading period contributes to the price discovery. This paper offers a new perspective on the price...
Persistent link: https://www.econbiz.de/10005100613
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Do Heterogeneous Beliefs Matter for Asset Pricing?
Juergens, Jennifer; Anderson, Evan; Ghysels, Eric - Econometric Society - 2004
We study how heterogeneous beliefs affect returns and examine whether heterogeneous beliefs are a priced factor in traditional asset pricing models. To accomplish this task, we suggest new empirical measures based on the disagreement among analysts about expected (short-term and long-term)...
Persistent link: https://www.econbiz.de/10005342284
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American Options with Stochastic Dividends and Volatility : A Nonparametric Investigation
Broadie, Mark - 2012
In this paper, we consider American option contracts when the underlying asset has stochastic dividends and stochastic volatility. We provide a full discussion of the theoretical foundations of American option valuation and exercise boundaries. We show how they depend on the various sources of...
Persistent link: https://www.econbiz.de/10012756084
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The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors
Ghysels, Eric; Seon, Junghoon - Centre Interuniversitaire de Recherche en Analyse des … - 2000
This paper is part of a larger research program pertaining to the role of derivatives during financial crisis and also part of the research pertaining to the causes of the Asian financial crisis. The Korean market is studied because of two reasons: (1) it is a representative example of the Asian...
Persistent link: https://www.econbiz.de/10005100707
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Market Beta Dynamics and Portfolio Efficiency
Ghysels, Eric - 2012
This paper introduces a new estimation for the dynamics of betas. It combines two previously separate approaches in the literature, data-driven filters and parametric methods. Namely, we show how to estimate the parametric beta dynamics by instrumental variables combined with block-sampling -...
Persistent link: https://www.econbiz.de/10012713420
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Forecasting throuth the rear-view mirror: Data revisions and bond return predictability
Ghysels, Eric; Horan, Casidhe; Moench, Emanuel - 2012
Real-time macroeconomic data refl ect the information available to market participants, whereas fi nal data-containing revisions and released with a delay-overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is signifi...
Persistent link: https://www.econbiz.de/10010333648
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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance … and allow for possible switches in the risk-return relation through a Markov-switching specification. We find strong … evidence for regime changes in the risk-return relation. This finding is robust to a large range of specifications. In the …
Persistent link: https://www.econbiz.de/10010335672
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Forecasting throuth the rear-view mirror : data revisions and bond return predictability
Ghysels, Eric; Horan, Casidhe; Mönch, Emanuel - 2012
Real-time macroeconomic data reflect the information available to market participants, whereas final data's containing revisions and released with a delays' overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is...
Persistent link: https://www.econbiz.de/10009664082
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Forecasting through the Rear-View Mirror : Data Revisions and Bond Return Predictability
Ghysels, Eric - 2014
Macroeconomic data are typically subject to future revisions and released with delay. Predictive return regressions using such data therefore potentially overstate the information set available to investors in real time. We document that data revisions account for a sizable share of in-sample...
Persistent link: https://www.econbiz.de/10013065072