Showing 1 - 10 of 13
the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial …
Persistent link: https://www.econbiz.de/10013038170
the crisis. The difference in costs between out-of-the-money put options for individual banks and puts on the financial …
Persistent link: https://www.econbiz.de/10013038266
significantly correlated with tail risk measures extracted from S&P 500 index options, but is available for a longer sample since it …
Persistent link: https://www.econbiz.de/10013063059
We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...
Persistent link: https://www.econbiz.de/10014250137
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10010303833
We propose a statistical model of differences in beliefs in which heterogeneous investors are represented as different machine learning model specifications. Each investor forms return forecasts from their own specific model using data inputs that are available to all investors. We measure...
Persistent link: https://www.econbiz.de/10014340974
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10008758073
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-and-hedge strategy involving taking a long position in...
Persistent link: https://www.econbiz.de/10009524821
This paper investigates empirically whether uncertainty about the expected returns on the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty via volatility of aggregate volatility (VOV) and construct an investable version...
Persistent link: https://www.econbiz.de/10010485488
This paper investigates empirically whether uncertainty about volatility of the market portfolio can explain the performance of hedge funds both in the cross-section and over time. We measure uncertainty about volatility of the market portfolio via volatility of aggregate volatility (VOV) and...
Persistent link: https://www.econbiz.de/10011308590