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A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks
Rodrigues, Paulo - 2009
\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are … rather heterogeneous. A key result of our investigation is that index jumps are not necessarily accompanied by jumps in a … large number of individual stocks when we apply the same critical values for a posteriori jump probabilities to the index …
Persistent link: https://www.econbiz.de/10012718585
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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 version: December 6, 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 is negative for the index. Furthermore, the estimates of the …
Persistent link: https://www.econbiz.de/10013465942
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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
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model...
Persistent link: https://www.econbiz.de/10011317706
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CAPM with Option-Implied Betas : Another Rescue Attempt
Buss, Adrian - 2009
We test the conditional CAPM with time-varying forward-looking betas, assuming a two-state model for the market risk premium. For market state identification we employ a recursive Markov-switching model based on a forward-looking Sentiment factor. The empirical results for our sample of...
Persistent link: https://www.econbiz.de/10012719192
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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 - This version: August 28, 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/10012271368
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Momentum-managed equity factors
Flögel, Volker; Schlag, Christian; Zunft, Claudia - 2021 - This version: July 18, 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/10012588643
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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
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model...
Persistent link: https://www.econbiz.de/10011315454
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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 is negative for the index. Furthermore, the estimates of the …
Persistent link: https://www.econbiz.de/10013470682
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Derivatives Trading in a General Equilibrium Modelwith Stochastic Volatility and Jumps
Branger, Nicole; Schlag, Christian; Schneider, Eva - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
We perform a general equilibrium analysis in a complete markets economy whenthe dividend follows a jump-diffusion process with stochastic volatility. Agents haveCRRA utility, but differ with respect to their degree of risk aversion. The keyoutput of our analysis is the structure of the...
Persistent link: https://www.econbiz.de/10005867617
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Pricing Two Trees:When Trees and Investors are Heterogeneous
Branger, Nicole; Schlag, Christian; Wu, Lue - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
We consider an exchange economy with two heterogeneous stocks and twogroups of investors. Dividends follow diusion processes, with a constant expectedgrowth rate for one stock and a stochastic drift for the other. 'Rationalinvestors' can either observe this stochastic drift without error or...
Persistent link: https://www.econbiz.de/10005867619