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Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

This paper analyzes the expected life-time utility and the hedging demands in a Lucas (1978) economy, in which the … equilibrium is derived, and his hedging demand is analyzed. The hedging demand consists of two components, which could work in … opposite directions so that a conservative investor may end up having a positive hedging demand. Interestingly, this differs …

Persistent link: https://www.econbiz.de/10005645232

Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy

Lundtofte, Frederik - 2003

This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent … analyze his hedging demands for intertemporal changes in the unobservable stochastic growth of the endowment process and the … changing quality of information regarding these changes. The hedging demands consist of two components, which could work in …

Persistent link: https://www.econbiz.de/10005222538

The Quality of Public Information and The Term Structure of Interest Rates

Lundtofte, Frederik - 2006

This paper analyzes the term structure of interest rates in an exchangeonly Lucas (1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We show that there is a premium for noisy external public information...

Persistent link: https://www.econbiz.de/10005162957

Can An ”Estimation Factor” Help Explain Cross-Sectional Returns?

Lundtofte, Frederik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2005

We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agent’s estimate. In the empirical specification, this ”estimation factor” is based on realized growth in...

Persistent link: https://www.econbiz.de/10005190581

On the distribution and estimation of trading costs

Kourtis, Apostolos - In: Journal of Empirical Finance 28 (2014) C, pp. 104-117

This paper investigates the uncertainty about the trading costs associated with a given portfolio strategy. I derive accurate approximations of the ex ante probability distributions of proportional trading costs and portfolio turnover under the conventional assumption of normal asset returns....

Persistent link: https://www.econbiz.de/10010939530

Why do variance swaps exist?

Novales, Alfonso; Nieto, Belén; Rubio, Gonzalo - Facultad de Ciencias Económicas y Empresariales, … - 2011

This paper studies the determinants of the variance risk premium and concludes on the hedging possibilities offered by … as reflecting the market willingness to pay for hedging against financial and macroeconomic sources of risk. We provide …

Persistent link: https://www.econbiz.de/10009141347

Yes, the CAPM is testable

Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42

It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are likely to be inefficient ex ante, which could lead to spurious results even in the absence of sampling errors. This problem has led many to express serious doubt on the...

Persistent link: https://www.econbiz.de/10010907096

The Joint Cross Section of Stocks and Options

Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013

Stocks with large increases in call implied volatilities over the previous month tend to have high future returns while stocks with large increases in put implied volatilities over the previous month tend to have low future returns. Sorting stocks ranked into decile portfolios by past call...

Persistent link: https://www.econbiz.de/10010951430

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10011261127

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Peñaranda, Francisco; Sentana, Enrique - Barcelona Graduate School of Economics (Barcelona GSE) - 2010

Two main approaches are commonly used to empirically evaluate linear factor pricing models: regression and SDF methods, with centred and uncentred versions of the latter. We show that unlike standard two-step or iterated GMM procedures, single-step estimators such as continuously updated GMM...

Persistent link: https://www.econbiz.de/10010547448

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